Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain

DOI10.1111/jtsa.12650OpenAlexW4224315602MaRDI QIDQ6135335

Unnamed Author

Publication date: 24 August 2023

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12650

zbMATH Keywords

\(\alpha\)-mixingnon-parametric testlocal kernel regression

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes (62Mxx)

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