Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean (Q452998)
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scientific article; zbMATH DE number 6083679
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| English | Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean |
scientific article; zbMATH DE number 6083679 |
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Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean (English)
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18 September 2012
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VAR model
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heteroscedastic errors
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adaptive least squares
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ordinary least squares
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kernel smoothing
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linear causality in mean
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Bahadur relative efficiency
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0.836190402507782
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0.8045932054519653
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0.7844938039779663
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0.7811831831932068
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0.7811828851699829
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