A comparison of some common methods for detecting Granger noncausality

DOI10.1080/10629360500107741zbMath1099.62088OpenAlexW1986195536MaRDI QIDQ5290893

Judith A. Clarke, Sadaf Mirza

Publication date: 3 May 2006

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360500107741

zbMATH Keywords

Monte Carlo simulationcointegrationerror correction modelsequential testinglag length selectiontesting for Granger noncausality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Sequential statistical analysis (62L10)

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