A Note on the Hiemstra-Jones Test for Granger Non-causality

DOI10.2202/1558-3708.1234zbMath1082.62510OpenAlexW2045865139MaRDI QIDQ3368383

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Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: http://cendef.uva.nl/binaries/content/assets/subsites/amsterdam-school-of-economics/amsterdam-school-of-economics-research-institute/cendef/working-papers-2004/0410.pdf?1417180770869

zbMATH Keywords

Granger causalityHypothesis testsNonparametric tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Monte Carlo methods (65C05)

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