EMPIRICAL LIKELIHOOD TEST FOR CAUSALITY OF BIVARIATE AR(1) PROCESSES

DOI10.1017/S0266466613000339zbMath1314.62207OpenAlexW2145807908MaRDI QIDQ2878812

Deyuan Li, Ngai Hang Chan, Liang Peng

Publication date: 5 September 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466613000339

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Tests of Unit Root Hypothesis With Heavy-Tailed Heteroscedastic Noises

Cites Work

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• Fully Modified Least Squares and Vector Autoregression
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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