Tests for Long-Run Granger Non-Causality in Cointegrated Systems

DOI10.1111/j.1467-9892.2006.00484.xzbMath1112.62104OpenAlexW2158831795MaRDI QIDQ3440764

Eiji Kurozumi, Taku Yamamoto

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/16968/070econDP03-12.pdf

zbMATH Keywords

hypothesis testingmaximum likelihood estimatevector autoregressionbest linear prediction

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions ⋮ Geometric and long run aspects of Granger causality ⋮ Testing for Granger causality with mixed frequency data ⋮ Speed of adjustment in cointegrated systems

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