Vector autoregressive models: a Gini approach

DOI10.1016/J.PHYSA.2017.11.111OpenAlexW2774516329MaRDI QIDQ2148299FDOQ2148299

Oumar Hamady Ndiaye, Stéphane Mussard

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

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zbMATH Keywords

\(U\)-statisticscausalityVARresponse functionGini regression

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Regression and time series model selection in small samples
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• The Gini methodology. A primer on a statistical methodology.
• Errors in Variables
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• A Gini Autocovariance Function for Time Series Modelling
• Gini Regression Analysis
• Gini's multiple regressions: two approaches and their interaction
• A graph-based approach to inequality assessment
• The Gini instrumental variable, or the ``double instrumental variable estimator
• ℓ₁regressions: Gini estimators for fixed effects panel data

Cited In (2)

• A Gini estimator for regression with autocorrelated errors
• Gini Regression Analysis

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