ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
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Publication:3632406
DOI10.1017/S0266466608080377zbMath1284.62570OpenAlexW1992851475MaRDI QIDQ3632406
Publication date: 11 June 2009
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466608080377
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Nonparametric tests for conditional independence using conditional distributions ⋮ Multivariate linear and nonlinear causality tests ⋮ Persistence-robust surplus-lag Granger causality testing
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