Testing linear causality in mean when the number of estimated parameters is high
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Publication:1952197
DOI10.1214/11-EJS617zbMath1274.62613MaRDI QIDQ1952197
Publication date: 28 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1307107184
VAR models; linear causality in mean; high-dimensional processes; causality in variance; large autoregressive order; weak errors
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B84: Economic time series analysis
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