Vector autoregression and causality: a theoretical overview and simulation study (Q4853082)
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scientific article; zbMATH DE number 809334
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| English | Vector autoregression and causality: a theoretical overview and simulation study |
scientific article; zbMATH DE number 809334 |
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Vector autoregression and causality: a theoretical overview and simulation study (English)
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24 January 1996
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experimental design
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overview
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Wald tests
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Granger causality
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vector autoregressions
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Johansen-type error correction models
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stochastic and deterministic trends
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cointegration
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Granger causality tests
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Gaussian maximum likelihood estimation
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sampling properties
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simulation
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sequential causality tests
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0.871950089931488
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0.8719499707221985
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0.8345453143119812
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0.8194840550422668
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0.8194840550422668
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