The relative performance of bivariate causality tests in small samples

DOI10.1016/S0377-2217(96)00278-0MaRDI QIDQ1278645zbMATH OpenFDO

Authors Jan Roelf Bult, Peter S. H. Leeflang, Dick R. Wittink

Publication date 23 August 1999

Published in European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

bivariate causality testsGranger-Sargent testGranger-Wald test

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Multivariate causality tests with simulation and application
• Multivariate linear and nonlinear causality tests
• On testing for causality in variance between two multivariate time series
• A Lagrange multiplier test for causality in variance
• Causality tests and conditional heteroskedasticity: Monte Carlo evidence
• Empirical likelihood test for causality of bivariate AR(1) processes
• ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
• Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study

Cites work

• scientific article; zbMATH DE number 193349 (Why is no real title available?)
• scientific article; zbMATH DE number 762913 (Why is no real title available?)
• Causality in temporal systems. Characterizations and a Survey
• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
• Comparing alternative tests of causality in temporal systems. Analytic results and experimental evidence
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
• The Approximate Slopes of Econometric Tests

Cited in

(1)

• A causal test of the strength of weak ties

This page was built for publication: The relative performance of bivariate causality tests in small samples

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1278645)