Vector autoregressive models with measurement errors for testing Granger causality
From MaRDI portal
Publication:716260
DOI10.1016/j.stamet.2010.02.001zbMath1230.62120arXiv0911.5628MaRDI QIDQ716260
Alexandre G. Patriota, Betsabé G. Blas Achic, João Ricardo Sato
Publication date: 27 April 2011
Published in: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0911.5628
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
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Cites Work
- A heteroscedastic structural errors-in-variables model with equation error
- Parameter estimation of multichannel autoregressive processes in noise
- Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
- Partial directed coherence: a new concept in neural structure determination
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Measure Theory and Probability Theory
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