Granger causality tests based on reduced variable information

DOI10.1111/JTSA.12720MaRDI QIDQ6128255zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

Gaussian white noisemodified Wald testmultivariate delta methodreduced information setsubprocessvector autoregression

Mathematics Subject Classification ID

Causal inference from observational studies (62D20) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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