Present value relations, Granger noncausality, and VAR stability

DOI10.1017/S0266466607070521zbMATH Open1237.62116MaRDI QIDQ2886984FDOQ2886984

Authors: Luca Fanelli 

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Recommendations

• Vector Autoregressions and Causality
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
• Noncausal vector autoregression
• Granger-causal analysis of GARCH models: a Bayesian approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Econometric tests of rationality and market efficiency
• Testing exact rational expectations in cointegrated vector autoregressive models
• A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables
• Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration
• Dynamic adjustment cost models with forward‐looking behaviour

Cited In (1)

• Stationary and nonstationary behaviour of the term structure: a nonparametric characterization

This page was built for publication: Present value relations, Granger noncausality, and VAR stability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2886984)