Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity

DOI10.1111/J.1467-9574.2009.00424.XMaRDI QIDQ6573706zbMATH OpenFDO

Authors Christian M. Hafner, Helmut Herwartz

Publication date 17 July 2024

Published in Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

bootstrapheteroskedasticityvector autoregressionGranger causalitybreak-even inflation

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

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