Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions
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Publication:3593523
DOI10.1080/03610920601036366zbMath1114.62085OpenAlexW2025829360MaRDI QIDQ3593523
Taku Yamamoto, Hiroaki Chigira
Publication date: 23 July 2007
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610920601036366
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)
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