Persistence-robust surplus-lag Granger causality testing

DOI10.1016/J.JECONOM.2012.01.023zbMATH Open1443.62243OpenAlexW2086417718MaRDI QIDQ528008FDOQ528008

Dietmar Bauer, Alex Maynard

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000334

zbMATH Keywords

structural breaksGranger causalitylong-memoryVARforward rate unbiasedness

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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• Granger causality in risk and detection of extreme risk spillover between financial markets
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• Asymptotic inference results for multivariate long‐memory processes
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• Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
• The Parameter Inference for Nearly Nonstationary Time Series
• ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
• REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES

Cited In (9)

• A new robust inference for predictive quantile regression
• Partial unit root and surplus-lag Granger causality testing: A Monte Carlo simulation study
• Instrumental variable and variable addition based inference in predictive regressions
• Extensions to IVX methods of inference for return predictability
• A practical multivariate approach to testing volatility spillover
• The uniform validity of impulse response inference in autoregressions
• Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
• CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
• Transformed regression-based long-horizon predictability tests

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