Testing for causality in real time

DOI10.1016/S0304-4076(95)01729-1zbMATH Open0861.62082MaRDI QIDQ1126483FDOQ1126483

Carlo Grillenzoni

Publication date: 28 April 1997

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

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zbMATH Keywords

asymptotic distributiondynamic multipliersnonstationary random processestransfer function modelsprediction error variancesrecursive nonlinear least squaressignificance bandstests of causality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

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Cited In (10)

• Performance of adaptive estimators in slowly varying parameter models
• Sequential tests of causality between environmental time series: with application to the global warming theory
• Inference on one-way effect and evidence in Japanese macroeconomic data
• Causal testing
• Title not available (Why is that?)
• Detecting and testing causality in linear econometric models
• Nonparametric regression for nonstationary processes
• Non-parametric determination of real-time lag structure between two time series: the ‘optimal thermal causal path’ method
• Title not available (Why is that?)
• On a causal analysis of economic time series

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