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

DOI10.1080/00949655.2010.508163MaRDI QIDQ5300724zbMATH OpenOpenAlexFDO

Authors Yushu Li, Ghazi Shukur

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

Granger causalityLSTAR modelMonte Carlo simulationwavelet multiresolution

Mathematics Subject Classification ID

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

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Cites work

• A non-parametric approach to non-linear causality testing
• A theory for multiresolution signal decomposition: the wavelet representation
• A wavelet analysis for time series
• Analyzing multiple nonlinear time series with extended Granger causality
• GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries
• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
• Non-linear system identification using wavelet multiresolution models
• Nonlinear smoothing and multiresolution analysis

Cited in

(2)

• Granger-causality in Markov switching models
• Volatility spillover effect on nonlinear causality tests

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