A new statistic and practical guidelines for nonparametric Granger causality testing
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Publication:959641
DOI10.1016/j.jedc.2005.08.008zbMath1162.91477OpenAlexW2145339411WikidataQ56610451 ScholiaQ56610451MaRDI QIDQ959641
Publication date: 12 December 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://cendef.uva.nl/binaries/content/assets/subsites/amsterdam-school-of-economics/amsterdam-school-of-economics-research-institute/cendef/working-papers-2004/0411.pdf?1417180784737
Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic growth models (91B62) Non-Markovian processes: hypothesis testing (62M07)
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Cites Work
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- Measuring statistical dependences in a time series
- A Note on the Hiemstra-Jones Test for Granger Non-causality
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- On U-statistics and v. mise? statistics for weakly dependent processes
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- On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- The Stationary Bootstrap
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