Out-of-sample tests for Granger causality (Q2783447)
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scientific article; zbMATH DE number 1730231
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| English | Out-of-sample tests for Granger causality |
scientific article; zbMATH DE number 1730231 |
Statements
2 July 2002
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Granger consality
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nonlinearity test
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Out-of-sample tests for Granger causality (English)
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Nonlinear out-of-sample Granger causality tests are presented here. Monte Carlo experiments are used to investigate the finite sample properties of the test. An empirical example is discussed.
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