Testing for causality in real time

DOI10.1016/S0304-4076(95)01729-1zbMath0861.62082MaRDI QIDQ1126483

Carlo Grillenzoni

Publication date: 28 April 1997

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

zbMATH Keywords

asymptotic distribution; dynamic multipliers; nonstationary random processes; transfer function models; prediction error variances; recursive nonlinear least squares; significance bands; tests of causality

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

91B84: Economic time series analysis

Related Items

Nonparametric regression for nonstationary processes, Performance of adaptive estimators in slowly varying parameter models

Cites Work

• Adaptation and tracking in system identification - a survey
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• ITERATIVE AND RECURSIVE ESTIMATION OF TRANSFER FUNCTIONS
• Frequency domain tracking characteristics of adaptive algorithms
• On tracking characteristics of weighted least squares estimators applied to nonstationary system identification
• Design of adaptive algorithms for the tracking of time‐varying systems
• Distribution of a Sum of Weighted Chi-Square Variables
• Optimal Recursive Estimation of Dynamic Models
• Least squares estimation in dynamic-disturbance time series models
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