Persistence-robust surplus-lag Granger causality testing
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Publication:528008
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Cites work
- A bootstrap causality test for covariance stationary processes
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Alternative forms of fractional Brownian motion
- Asymptotic inference results for multivariate long‐memory processes
- Asymptotics for out of sample tests of Granger causality
- Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
- Consistent autoregressive spectral estimates
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- Fractional differencing
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Granger causality in risk and detection of extreme risk spillover between financial markets
- Impulse response analysis in infinite order cointegrated vector autoregressive processes
- Inference in Linear Time Series Models with some Unit Roots
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Long memory and regime switching
- Long memory processes and fractional integration in econometrics
- Making wald tests work for cointegrated VAR systems
- Nonparametric Test for Causality with Long-range Dependence
- On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
- Prediction of multivariate time series by autoregressive model fitting
- REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES
- ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
- Short Run and Long Run Causality in Time Series: Theory
- Short run and long run causality in time series: inference
- Statistical inference in vector autoregressions with possibly integrated processes
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- Vector Autoregressions and Causality
Cited in
(10)- 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
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
- A comparison of some common methods for detecting Granger noncausality
- Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
- Transformed regression-based long-horizon predictability tests
- Partial unit root and surplus-lag Granger causality testing: a Monte Carlo simulation study
- A new robust inference for predictive quantile regression
- Instrumental variable and variable addition based inference in predictive regressions
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