Partial unit root and surplus-lag Granger causality testing: A Monte Carlo simulation study

DOI10.1080/03610926.2017.1295077zbMath1384.62323OpenAlexW2588354902MaRDI QIDQ4606471

Lingxiang Zhang

Publication date: 7 March 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1295077

zbMATH Keywords

robustMonte Carlo simulationGranger causalitypartial unit root

Mathematics Subject Classification ID

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

Cites Work

• Persistence-robust surplus-lag Granger causality testing
• Statistical inference in vector autoregressions with possibly integrated processes
• TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS
• Threshold Cointegration
• Making wald tests work for cointegrated VAR systems
• Threshold Autoregression with a Unit Root
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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