Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean (Q452998)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean |
scientific article |
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Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean (English)
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18 September 2012
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VAR model
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heteroscedastic errors
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adaptive least squares
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ordinary least squares
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kernel smoothing
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linear causality in mean
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Bahadur relative efficiency
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