A comparison of some common methods for detecting Granger noncausality
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Cites work
- A Parametric approach to testing the null of cointegration
- Asymptotic Properties of Residual Based Tests for Cointegration
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Estimating the dimension of a model
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Fitting autoregressive models for prediction
- Five alternative methods of estimating long-run equilibrium relationships
- Fully Modified Least Squares and Vector Autoregression
- Fully Modified Vector Autoregressive Inference in Partially Nonstationary Models
- scientific article; zbMATH DE number 3444596 (Why is no real title available?)
- Inference in Linear Time Series Models with some Unit Roots
- Inference in possibly integrated vector autoregressive models: Some finite sample evidence
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Making wald tests work for cointegrated VAR systems
- Maximum likelihood principle and model selection when the true model is unspecified
- Simplified conditions for noncausality between vectors in multivariate ARMA models
- Specification via model selection in vector error correction models
- Statistical analysis of cointegration vectors
- Statistical inference in vector autoregressions with possibly integrated processes
- Testing for a unit root in time series regression
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
- Vector autoregression and causality: a theoretical overview and simulation study
- Vector Autoregressions and Causality
Cited in
(11)- Nonparametric estimation and inference for conditional density based Granger causality measures
- Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests
- The effect of increase of the Granger causality method sensitivity with rise of a measurement noise
- How to select a reasonable lag order for testing linear Granger causality?
- Partial unit root and surplus-lag Granger causality testing: a Monte Carlo simulation study
- Statistical Tests for Detecting Granger Causality
- Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
- Toda-Yamamoto approximation for the Granger causality analysis of climate attributes in Yogyakarta
- Persistence-robust surplus-lag Granger causality testing
- Causal relationships between cryptocurrencies: the effects of sampling interval and sample size
- On the specification of Granger-causality tests using the cointegration methodology
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