A consistent nonparametric test for nonlinear causality -- specification in time series regression
From MaRDI portal
Publication:738056
DOI10.1016/j.jeconom.2011.05.010zbMath1441.62821OpenAlexW2015857797MaRDI QIDQ738056
Yoshihiko Nishiyama, Yoshinori Kawasaki, Kiho Jeong, Kohtaro Hitomi
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.05.010
local alternativesnonparametric testcausality up to \(K\)th momentnonlinear causalityomitted variables test
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Uses Software
Cites Work
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