Granger causality tests based on reduced variable information
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Publication:6128255
DOI10.1111/jtsa.12720OpenAlexW4386419364MaRDI QIDQ6128255
Neng-Fang Tseng, Ying-Chao Hung, Junji Nakano
Publication date: 15 April 2024
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12720
Gaussian white noisevector autoregressionsubprocessmodified Wald testmultivariate delta methodreduced information set
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Causal inference from observational studies (62D20)
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