Testing for causality in real time

DOI10.1016/S0304-4076(95)01729-1MaRDI QIDQ1126483zbMATH OpenFDO

Authors Carlo Grillenzoni

Publication date 28 April 1997

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

zbMATH Keywords

asymptotic distributiondynamic multipliersnonstationary random processestransfer function modelsprediction error variancesrecursive nonlinear least squaressignificance bandstests of causality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cited in

(15)

• scientific article; zbMATH DE number 3881747 (Why is no real title available?)
• Sequential tests of causality between environmental time series: with application to the global warming theory
• Nonparametric regression for nonstationary processes
• Short run and long run causality in time series: inference
• scientific article; zbMATH DE number 3926034 (Why is no real title available?)
• Empirical likelihood test for causality of bivariate AR(1) processes
• Detecting and testing causality in linear econometric models
• Time series experiments and causal estimands: exact randomization tests and trading
• Non-parametric determination of real-time lag structure between two time series: the ‘optimal thermal causal path’ method
• Performance of adaptive estimators in slowly varying parameter models
• Causal testing
• Inference on one-way effect and evidence in Japanese macroeconomic data
• On a causal analysis of economic time series
• Change detection and the causal impact of the yield curve
• A model-free characterization of causality

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