Vector autoregression and causality: a theoretical overview and simulation study
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Publication:4853082
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Cites work
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Five alternative methods of estimating long-run equilibrium relationships
- Inference in Linear Time Series Models with some Unit Roots
- Optimal Inference in Cointegrated Systems
- Statistical analysis of cointegration vectors
- Vector Autoregressions and Causality
Cited in
(26)- Testing cointegrating coefficients in vector autoregressive error correction models
- A note on the causality between export and productivity: an empirical re-examination
- Inference in possibly integrated vector autoregressive models: Some finite sample evidence
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Inference on one-way effect and evidence in Japanese macroeconomic data
- Subsampling vector autoregressive tests of linear constraints
- Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors
- A time power-based grey model with conformable fractional derivative and its applications
- Empirical likelihood test for causality of bivariate AR(1) processes
- Short run and long run causality in time series: inference
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- INTEGRATION OF GLOBAL CAPITAL MARKETS: AN EMPIRICAL EXPLORATION
- A graphical investigation of the size and power of the Granger-causality tests in integrated-cointegrated VAR systems
- Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions
- ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
- Finite sample performance of the model selection approach in co-integration analysis
- Two-step adaptive model selection for vector autoregressive processes
- Vector Autoregressions and Causality
- A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems
- scientific article; zbMATH DE number 762913 (Why is no real title available?)
- Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
- A comparison of some common methods for detecting Granger noncausality
- Pairwise influences in dynamic choice: network-based model and application
- Aggregation over time, error correction models and Granger causality:
- Quantile-adaptive distributional Granger causal model for high-dimensional time series
- A note on hypothesis testing based on the fully modified vector autoregression
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