Testing instantaneous linear Granger causality in presence of nonlinear dynamics

DOI10.1016/J.CRMA.2011.10.008MaRDI QIDQ650870zbMATH OpenOpenAlexFDO

Authors Hamdi Raïssi

Publication date 7 December 2011

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2011.10.008

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Computing the distribution of quadratic forms in normal variables
• Diagnostic Checking in ARMA Models With Uncorrelated Errors
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Maximum likelihood estimation for all-pass time series models
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
• Stochastic Comparison of Tests

Cited in

(5)

• Testing linear causality in mean when the number of estimated parameters is high
• The effect of increase of the Granger causality method sensitivity with rise of a measurement noise
• A wavelet-based approach of testing for Granger causality in the presence of GARCH effects
• How to select a reasonable lag order for testing linear Granger causality?
• Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form

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