Vector autoregressive models with measurement errors for testing Granger causality

DOI10.1016/J.STAMET.2010.02.001zbMath1230.62120arXiv0911.5628OpenAlexW3099780329MaRDI QIDQ716260

Alexandre G. Patriota, Betsabé G. Blas Achic, João Ricardo Sato

Publication date: 27 April 2011

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.5628

zbMATH Keywords

asymptotic propertiesmultivariate time serieserrors-in-variables model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Uses Software

• astsa
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Cites Work

• A heteroscedastic structural errors-in-variables model with equation error
• Parameter estimation of multichannel autoregressive processes in noise
• Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
• Partial directed coherence: a new concept in neural structure determination
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Measure Theory and Probability Theory
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