Bayesian Testing of Granger Causality in Markov-Switching VARs
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Cited by:
- Rituparna Sen & Anandamayee Majumdar & Shubhangi Sikaria, 2022.
"Bayesian Testing of Granger Causality in Functional Time Series,"
Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(1), pages 191-210, September.
- Rituparna Sen & Anandamayee Majumdar & Shubhangi Sikaria, 2021. "Bayesian Testing Of Granger Causality In Functional Time Series," Papers 2112.15315, arXiv.org.
- Woźniak, Tomasz, 2015.
"Testing causality between two vectors in multivariate GARCH models,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 876-894.
- Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Economics Working Papers ECO2012/20, European University Institute.
- Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Department of Economics - Working Papers Series 1139, The University of Melbourne.
- Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
- Matthieu Droumaguet & Anders Warne & Tomasz Wozniak, 2015. "Granger Causality and Regime Inference in Bayesian Markov-Switching VARs," Department of Economics - Working Papers Series 1191, The University of Melbourne.
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More about this item
Keywords
Granger Causality; Markov Switching Models; Hypothesis Testing; Posterior Odds Ratio; Gibbs Sampling;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-03-21 (Econometrics)
- NEP-ETS-2012-03-21 (Econometric Time Series)
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