Partial unit root and surplus-lag Granger causality testing: a Monte Carlo simulation study

DOI10.1080/03610926.2017.1295077zbMATH Open1384.62323OpenAlexW2588354902MaRDI QIDQ4606471FDOQ4606471

Authors: Lingxiang Zhang 

Publication date: 7 March 2018

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1295077

Recommendations

• Persistence-robust surplus-lag Granger causality testing
• A comparison of some common methods for detecting Granger noncausality
• On spurious Granger causality
• Spurious Granger causalities in integrated autoregressive moving average processes
• PARTIALLY LINEAR MODELS WITH UNIT ROOTS

zbMATH Keywords

robustMonte Carlo simulationGranger causalitypartial unit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Statistical inference in vector autoregressions with possibly integrated processes
• Threshold Cointegration
• Making wald tests work for cointegrated VAR systems
• Threshold Autoregression with a Unit Root
• Persistence-robust surplus-lag Granger causality testing
• Testing for a unit root against transitional autoregressive models

Cited In (1)

• Persistence-robust surplus-lag Granger causality testing

This page was built for publication: Partial unit root and surplus-lag Granger causality testing: a Monte Carlo simulation study

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4606471)