Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models

Granger causality Granger noncausality causality test bounds test stationary invertible ARMA processes causality analysis general vector autoregressive moving average (ARMA) models linear invertible processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Related Items (27)

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