Persistence-robust surplus-lag Granger causality testing
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Publication:528008
DOI10.1016/J.JECONOM.2012.01.023zbMATH Open1443.62243OpenAlexW2086417718MaRDI QIDQ528008FDOQ528008
Authors: 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
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Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Fractional differencing
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- Long memory and regime switching
- Prediction of multivariate time series by autoregressive model fitting
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- Vector Autoregressions and Causality
- Making wald tests work for cointegrated VAR systems
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- Short run and long run causality in time series: inference
- 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
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Cited In (10)
- 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
- 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
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
- Transformed regression-based long-horizon predictability tests
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