Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
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Publication:1069258
DOI10.1016/0304-4076(84)90056-3zbMath0583.62097MaRDI QIDQ1069258
Publication date: 1984
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(84)90056-3
algorithm; model selection; time series; transformations; instantaneous causality; multivariate autoregressive models; Granger-causality; zero constraints; Canadian money-income-bank rate system; canonical reduced autoregressive form; ordinary least-squares estimation; overall causality; recursive form; residual regression
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
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