Factor double autoregressive models with application to simultaneous causality testing

DOI10.1016/j.jspi.2013.12.007zbMath1282.62195OpenAlexW2234845968MaRDI QIDQ2437865

Ke Zhu, Shiqing Ling, 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 normalityscore teststrong consistencyinstantaneous causalitycausality-in-meancausality-in-variancefactor DAR model

Mathematics Subject Classification ID

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

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