Change Detection and the Causal Impact of the Yield Curve

DOI10.1111/jtsa.12427zbMath1402.91589OpenAlexW2465579951WikidataQ129271825 ScholiaQ129271825MaRDI QIDQ4556521

Peter C. B. Phillips, Shuping Shi, Stan Hurn

Publication date: 16 November 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12427

zbMATH Keywords

hypothesis testingcausalityyield curveforward recursionrolling windowrecursive evolving testreal economic activity

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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