Vector autoregressive models: a Gini approach

DOI10.1016/J.PHYSA.2017.11.111MaRDI QIDQ2148299zbMATH OpenOpenAlexFDO

Authors Stéphane Mussard, Oumar Hamady Ndiaye

Publication date 23 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2017.11.111

zbMATH Keywords

\(U\)-statisticscausalityVARresponse functionGini regression

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• A Gini autocovariance function for time series modelling
• A graph-based approach to inequality assessment
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Errors in Variables
• Gini Regression Analysis
• Gini's multiple regressions: two approaches and their interaction
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Regression and time series model selection in small samples
• The Gini instrumental variable, or the ``double instrumental variable estimator
• The Gini methodology. A primer on a statistical methodology.
• \( \ell_1\) regressions: Gini estimators for fixed effects panel data

Cited in

(3)

• A Gini estimator for regression with autocorrelated errors
• Gini Regression Analysis
• A Gini autocovariance function for time series modelling

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