A non-parametric approach to non-linear causality testing

DOI10.1016/0165-1765(95)00791-1MaRDI QIDQ1351101zbMATH OpenOpenAlexFDO

Authors O. Diekmann

Publication date 27 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(95)00791-1

zbMATH Keywords

Non-linear Granger causalityNon-parametric estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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Cites work

• scientific article; zbMATH DE number 3967642 (Why is no real title available?)
• scientific article; zbMATH DE number 47282 (Why is no real title available?)
• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• scientific article; zbMATH DE number 1168350 (Why is no real title available?)
• scientific article; zbMATH DE number 203652 (Why is no real title available?)
• Economic processes involving feedback
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Linear smoothers and additive models

Cited in

(13)

• Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
• Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods
• Quantile transfer entropy: measuring the heterogeneous information transfer of nonlinear time series
• A Non-Parametric Test of Exogeneity
• A new statistic and practical guidelines for nonparametric Granger causality testing
• A consistent nonparametric test for nonlinear causality -- specification in time series regression
• Nonparametric Tests of the Causal Null With Nondiscrete Exposures
• Linear and nonlinear causality tests in an LSTAR model: wavelet decomposition in a nonlinear environment
• “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality
• A model-free characterization of causality
• A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
• Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models
• Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form

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