Vector Autoregressions and Causality (Q4286289)
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scientific article; zbMATH DE number 540416
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Vector Autoregressions and Causality |
scientific article; zbMATH DE number 540416 |
Statements
Vector Autoregressions and Causality (English)
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16 October 1994
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asymptotic propertie
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Granger-type causality tests
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unrestricted and nonstationary vector autoregression models
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sufficiency condition
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rank condition
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cointegrating matrix
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chi-square criteria
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Wald test statistic
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nonstandard limiting distribution
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error correction models
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