Tests of Noncausality under Markov Assumptions for Qualitative Panel Data

DOI10.2307/1913158MaRDI QIDQ3809101zbMATH OpenOpenAlexFDO

Authors M. B. Bouissou, Jean-Jacques Laffont, Quang Vuong

Publication date 1986

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://authors.library.caltech.edu/83201/

zbMATH Keywords

equivalence of Granger noncausality and Sims-Chamberlain strict exogeneityLog-likelihood ratio (LR) tests for noncausalityprice changesqualitative panel datatests for the Markov propertyunifying definition of noncausality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(6)

• Estimation of an autoregressive semiparametric model with exogenous variables
• Tests for independence between categorical variables
• Non-causality in bivariate binary time series
• Granger causality and structural causality in cross-section and panel data
• Graphical models for multivariate Markov chains
• Nonparametric identification of dynamic models with unobserved state variables

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