Asymptotics for out of sample tests of Granger causality
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Publication:451271
DOI10.1016/J.JECONOM.2006.07.020zbMATH Open1247.91150OpenAlexW2038845560MaRDI QIDQ451271FDOQ451271
Publication date: 23 September 2012
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.020
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Cited In (35)
- Predictive ability tests with possibly overlapping models
- Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach
- Foreign direct investment, exports and domestic performance in Mexico: a causality analysis.
- Predicting the yield curve using forecast combinations
- The power of tests of predictive ability in the presence of structural breaks
- Tests of equal forecast accuracy and encompassing for nested models
- Granger causality and the sampling of economic processes
- Reexamining time-varying bond risk premia in the post-financial crisis era
- Asymptotic inference about predictive accuracy using high frequency data
- Tests of equal accuracy for nested models with estimated factors
- Evaluating Direct Multistep Forecasts
- Statistical Tests for Detecting Granger Causality
- Short-run risk, business cycle, and the value premium
- A consistent test for nonlinear out of sample predictive accuracy.
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
- Short-horizon return predictability and oil prices
- The predictive performance of the currency futures basis for spot returns
- Predicting the equity market risk premium: a model selection approach
- Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
- Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
- Stock prices-inflation puzzle and the predictability of stock market returns
- Topology and parameters recognition of uncertain complex networks via nonidentical adaptive synchronization
- Nested forecast model comparisons: a new approach to testing equal accuracy
- A predictability test for a small number of nested models
- Comparing forecasting performance in cross-sections
- Persistence-robust surplus-lag Granger causality testing
- Statistical tests for multiple forecast comparison
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- The relevance of the monetary model for the euro / USD exchange rate determination: a long run perspective
- Forecasting Japanese inflation with a news-based leading indicator of economic activities
- Multivariate star analysis of money-output relationship
- Multivariate out-of-sample tests for Granger causality
- Predictive ability with cointegrated variables
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Oil price forecastability and economic uncertainty
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