ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES

DOI10.1017/S0266466608080377zbMath1284.62570OpenAlexW1992851475MaRDI QIDQ3632406

Roch Roy, Abdessamad Saidi

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608080377

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Nonparametric tests for conditional independence using conditional distributions ⋮ Multivariate linear and nonlinear causality tests ⋮ Persistence-robust surplus-lag Granger causality testing

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