Testing linear causality in mean when the number of estimated parameters is high

DOI10.1214/11-EJS617zbMath1274.62613MaRDI QIDQ1952197

Hamdi Raïssi

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1307107184

zbMATH Keywords

VAR modelslinear causality in meanhigh-dimensional processescausality in variancelarge autoregressive orderweak errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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