Testing for causality in real time

DOI10.1016/S0304-4076(95)01729-1zbMath0861.62082MaRDI QIDQ1126483

Carlo Grillenzoni

Publication date: 28 April 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

asymptotic distributiondynamic multipliersnonstationary random processestransfer function modelsprediction error variancesrecursive nonlinear least squaressignificance bandstests of causality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (2)

Performance of adaptive estimators in slowly varying parameter models ⋮ Nonparametric regression for nonstationary processes

Cites Work

• Adaptation and tracking in system identification - a survey
• Recursive stability analysis of linear regression relationships. An exploratory methodology
• ITERATIVE AND RECURSIVE ESTIMATION OF TRANSFER FUNCTIONS
• Frequency domain tracking characteristics of adaptive algorithms
• On tracking characteristics of weighted least squares estimators applied to nonstationary system identification
• Design of adaptive algorithms for the tracking of time‐varying systems
• Distribution of a Sum of Weighted Chi-Square Variables
• Optimal Recursive Estimation of Dynamic Models
• Least squares estimation in dynamic-disturbance time series models
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