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Tests for Long-Run Granger Non-Causality in Cointegrated Systems - MaRDI portal

Tests for Long-Run Granger Non-Causality in Cointegrated Systems (Q3440764)

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English
Tests for Long-Run Granger Non-Causality in Cointegrated Systems
scientific article

    Statements

    title
    Tests for Long-Run Granger Non-Causality in Cointegrated Systems (English)
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    author
    Taku Yamamoto
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    Eiji Kurozumi
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    publication date
    29 May 2007
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    zbMATH Keywords
    vector autoregression
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    hypothesis testing
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    maximum likelihood estimate
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    best linear prediction
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62H99
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    62P05
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    zbMATH DE Number
    5158757
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    OpenAlex ID
    W2158831795
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