Granger-causality in Markov switching models

DOI10.1080/02664763.2014.993367OpenAlexW2016433677MaRDI QIDQ5130215

Silvio di Sanzo, Monica Billio

Publication date: 4 November 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: http://www.unive.it/pag/fileadmin/user_upload/dipartimenti/economia/doc/Pubblicazioni_scientifiche/working_papers/2006/WP_DSE_Billio_Di_Sanzo_20_06.pdf

zbMATH Keywords

Markov chainMarkov switching modelsGranger-causality

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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