Factor double autoregressive models with application to simultaneous causality testing

DOI10.1016/J.JSPI.2013.12.007MaRDI QIDQ2437865zbMATH OpenOpenAlexWikidataFDO

Authors Shiqing Ling, Ke Zhu, Shao-Jun Guo

Publication date 13 March 2014

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/51570/1/MPRA_paper_51570.pdf

zbMATH Keywords

asymptotic normalitycausality-in-meancausality-in-variancefactor DAR modelinstantaneous causalityscore teststrong consistency

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• scientific article; zbMATH DE number 3942882 (Why is no real title available?)
• scientific article; zbMATH DE number 5224887 (Why is no real title available?)
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Cited in

(9)

• On a vector double autoregressive model
• Inference and model selection in general causal time series with exogenous covariates
• Multivariate-based causality tests of twin deficits in the US
• QML inference for volatility models with covariates
• Double AR model without intercept: an alternative to modeling nonstationarity and heteroscedasticity
• Flexible bivariate INGARCH process with a broad range of contemporaneous correlation
• Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
• Asymptotic inference for a sign-double autoregressive (SDAR) model of order one
• Granger causality for mixed time series generalized linear models: a case study on multimodal brain connectivity

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