Non-causality in bivariate binary time series

DOI10.1016/J.JECONOM.2005.02.005MaRDI QIDQ291706zbMATH OpenOpenAlexFDO

Authors Rocco Mosconi, Raffaello Seri

Publication date 10 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.02.005

zbMATH Keywords

Markov chainsGranger non-causalitymultivariate choice modelsmultivariate survival analysis

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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• A Note on Noncausality
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• Exogeneity
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• Noncausality in Continuous Time
• Partial likelihood
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• Statistical Methods in Markov Chains
• Statistical models based on counting processes
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• The General Equivalence of Granger and Sims Causality
• Theory of partial likelihood

Cited in

(6)

• Tests of Noncausality under Markov Assumptions for Qualitative Panel Data
• Inference on local causality and tests of non-causality in time series
• Granger-causality in Markov switching models
• Granger causality and structural causality in cross-section and panel data
• Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors
• Graphical models for multivariate Markov chains

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