Testing for non-causality by using the Autoregressive Metric
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More about this item
Keywords
AR metric; Bootstrap test; Granger non-causality; VAR;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2011-03-26 (Econometrics)
- NEP-ETS-2011-03-26 (Econometric Time Series)
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