Granger Causality Test in the Presence of Spillover Effects
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Publication:3652744
DOI10.1080/03610910903243695zbMath1182.62179MaRDI QIDQ3652744
Kristofer Månsson, Ghazi Shukur
Publication date: 16 December 2009
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610910903243695
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
65C05: Monte Carlo methods
91B84: Economic time series analysis
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