Robust causality test of infinite variance processes

DOI10.1016/J.JECONOM.2020.01.016MaRDI QIDQ2305988zbMATH OpenOpenAlexFDO

Authors Fumiya Akashi, Masanobu Taniguchi, Anna Clara Monti

Publication date 20 March 2020

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.01.016

zbMATH Keywords

Granger causalitygeneralized empirical likelihoodnonparametric hypothesis testingself-weighting

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(4)

• A bootstrap causality test for covariance stationary processes
• Robust inference theory for non-regular time series models and its extensions
• ON THE CAUSALITY TEST IN TIME SERIES MODELS WITH HEAVY-TAILED DISTRIBUTION
• Empirical likelihood test for causality of bivariate AR(1) processes

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