Nonparametric Test for Causality with Long-range Dependence

DOI10.1111/1468-0262.00168zbMATH Open1056.62518OpenAlexW2081519101MaRDI QIDQ4530992FDOQ4530992

Javier Hidalgo

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/6866/1/Nonparametric_Test_for_Causality_with_Long-Range_Dependence.pdf

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (12)

• A bootstrap causality test for covariance stationary processes
• Specification testing for regression models with dependent data
• A model-free characterization of causality
• A consistent nonparametric test for nonlinear causality -- specification in time series regression
• Multivariate linear and nonlinear causality tests
• Consistent order selection with strongly dependent data and its application to efficient estimation.
• Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes
• Nonparametric Tests of the Causal Null With Nondiscrete Exposures
• Persistence-robust surplus-lag Granger causality testing
• Time-dependent copulas
• Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
• Asymptotic inference results for multivariate long‐memory processes

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