Testing causality using efficiently parametrized vector ARMA models

DOI10.1016/0096-3003(86)90010-XzbMath0609.62125MaRDI QIDQ1086960

Steven M. Hotopp, Paul Newbold

Publication date: 1986

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

parameter estimationmodel selectionmodel checkingeconomic time seriesmodel-building methodologytest for Granger causalityvector autoregressive moving-average models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Simplified conditions for noncausality between vectors in multivariate ARMA models, An approach to causal modeling in fuzzy environment and its application

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