Persistence-robust Granger causality testing
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As found by EconAcademics.org, the blog aggregator for Economics research:- Surplus-Lag Granger Causality Testing
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-04-18 21:13:00 - Surplus-Lag Granger Causality Testing
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-04-18 21:13:00
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More about this item
Keywords
Granger causality; surplus lag; nonstationary; VAR; local-to-unity; long-memory;All these keywords.
JEL classification:
- 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
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