A model-free characterization of causality

DOI10.1016/J.ECONLET.2005.12.016zbMath1255.62130OpenAlexW2005963079MaRDI QIDQ1929121

Mustapha Baghli

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.12.016

zbMATH Keywords

nonlinearitycausality in informationfast double bootstrap testinformation-theoretic statistics

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10)

Cites Work

• Unnamed Item
• A non-parametric approach to non-linear causality testing
• A causality-in-variance test and its application to financial market prices
• Information-Theoretic Analysis of Serial Dependence and Cointegration
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• Nonparametric Test for Causality with Long-range Dependence
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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