Multivariate out-of-sample tests for Granger causality

DOI10.1016/j.csda.2006.09.021zbMath1161.62401OpenAlexW2118326920MaRDI QIDQ1019966

Sarah Gelper, Christophe Croux

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.09.021

zbMATH Keywords

Granger causalitymultivariate time seriesconsumer sentimentout-of-sample tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Consumer behavior, demand theory (91B42) Graphical methods in statistics (62A09)

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Cites Work

• Multivariate time series modeling and classification via hierarchical VAR mixtures
• Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Advertising and Aggregate Consumption: An Analysis of Causality
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
• Tests for noncorrelation of two multivariate ARMA time series
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Asymptotic Inference about Predictive Ability
• Tests of equal forecast accuracy and encompassing for nested models

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