Asymptotics for out of sample tests of Granger causality
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Cites work
- scientific article; zbMATH DE number 3537122 (Why is no real title available?)
- A Reality Check for Data Snooping
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- The 1972 Wald Lecture Robust Statistics: A Review
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- The power of tests of predictive ability in the presence of structural breaks
Cited in
(39)- Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
- Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
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- Predictive ability with cointegrated variables
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- Foreign direct investment, exports and domestic performance in Mexico: a causality analysis.
- The relevance of the monetary model for the euro / USD exchange rate determination: a long run perspective
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- The predictive power of the business and bank sentiment of firms: a high-dimensional Granger causality approach
- Tests of equal forecast accuracy and encompassing for nested models
- Evaluating Direct Multistep Forecasts
- Multivariate star analysis of money-output relationship
- Oil price forecastability and economic uncertainty
- The power of tests of predictive ability in the presence of structural breaks
- Comparing forecasting performance in cross-sections
- Reexamining time-varying bond risk premia in the post-financial crisis era
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- The predictive performance of the currency futures basis for spot returns
- New exogeneity tests and causal paths
- Predicting the yield curve using forecast combinations
- Short-horizon return predictability and oil prices
- Multivariate out-of-sample tests for Granger causality
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