Linear and nonlinear causality tests in an LSTAR model: wavelet decomposition in a nonlinear environment

DOI10.1080/00949655.2010.508163zbMath1328.62400OpenAlexW2003526991MaRDI QIDQ5300724

Ghazi Shukur, Yushu Li

Publication date: 28 June 2013

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

Full work available at URL: https://doi.org/10.1080/00949655.2010.508163

zbMATH Keywords

Monte Carlo simulationGranger causalityLSTAR modelwavelet multiresolution

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) General nonlinear regression (62J02)

Related Items (2)

Granger-causality in Markov switching models ⋮ VOLATILITY SPILLOVER EFFECT ON NONLINEAR CAUSALITY TESTS

Cites Work

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• Nonlinear smoothing and multiresolution analysis
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• GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries
• Analyzing multiple nonlinear time series with extended Granger causality
• Non-linear system identification using wavelet multiresolution models
• A theory for multiresolution signal decomposition: the wavelet representation
• A wavelet analysis for time series

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