Nonparametric Test for Causality with Long-range Dependence
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Publication:4530992
DOI10.1111/1468-0262.00168zbMath1056.62518OpenAlexW2081519101MaRDI QIDQ4530992
Publication date: 28 May 2002
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/6866/1/Nonparametric_Test_for_Causality_with_Long-Range_Dependence.pdf
Asymptotic properties of parametric estimators (62F12) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Asymptotic inference results for multivariate long‐memory processes ⋮ Specification testing for regression models with dependent data ⋮ Multivariate linear and nonlinear causality tests ⋮ A model-free characterization of causality ⋮ Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes ⋮ Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain ⋮ Time-dependent copulas ⋮ Persistence-robust surplus-lag Granger causality testing ⋮ A consistent nonparametric test for nonlinear causality -- specification in time series regression ⋮ Consistent order selection with strongly dependent data and its application to efficient estimation. ⋮ A bootstrap causality test for covariance stationary processes
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