A general nonparametric bootstrap test for Granger causality

MaRDI QIDQ2770241zbMATH OpenFDO

Authors Cees Diks, Jacob DeGoede

Publication date 3 September 2002

zbMATH Keywords

correlation integralstime series

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(11)

• Linear and nonlinear causality between signals: methods, examples and neurophysiological applications
• Nonparametric estimation and inference for conditional density based Granger causality measures
• A bootstrap causality test for covariance stationary processes
• A Note on the Hiemstra-Jones Test for Granger Non-causality
• The relationship between budgetary expenditure and economic growth in Poland
• Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
• Computer intensive testing for the influence between time series
• Multivariate linear and nonlinear causality tests
• Detecting high-dimensional causal networks using randomly conditioned Granger causality
• Tests of Granger causality by the selection of the orders of a bivariate autoregressive model
• A new statistic and practical guidelines for nonparametric Granger causality testing

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