Tests of Noncausality under Markov Assumptions for Qualitative Panel Data

DOI10.2307/1913158zbMath0659.62126OpenAlexW2032752315MaRDI QIDQ3809101

Jean-Jacques Laffont, M. B. Bouissou, Quang H. Vuong

Publication date: 1986

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://authors.library.caltech.edu/83201/

zbMATH Keywords

price changesequivalence of Granger noncausality and Sims-Chamberlain strict exogeneityLog-likelihood ratio (LR) tests for noncausalityqualitative panel datatests for the Markov propertyunifying definition of noncausality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (5)

Non-causality in bivariate binary time series ⋮ Graphical models for multivariate Markov chains ⋮ Nonparametric identification of dynamic models with unobserved state variables ⋮ Estimation of an autoregressive semiparametric model with exogenous variables ⋮ Tests for independence between categorical variables

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