A class of optimal tests for contemporaneous non-causality in VAR models

DOI10.1111/JTSA.12016zbMath1274.62556OpenAlexW1961157161MaRDI QIDQ2852595

Maria Caterina Bramati

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12016

zbMATH Keywords

signsmultivariate ranksVAR modelselliptical densitiesinstantaneous causalitycontemporaneous non-correlation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
• Asymptotic methods in statistical decision theory
• Causality in temporal systems. Characterizations and a Survey
• Aligned rank tests for linear models with autocorrelated error terms
• Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity
• Asymptotic linearity of serial and nonserial multivariate signed rank statistics
• Some Extensions of the Wald-Wolfowitz-Noether Theorem
• Temporal aggregation and spurious instantaneous causality in multiple time series models
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
• Asymptotically Most Powerful Rank-Order Tests
• AUTOMATIC INFERENCE OF THE CONTEMPORANEOUS CAUSAL ORDER OF A SYSTEM OF EQUATIONS

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