Tests of Granger causality by the selection of the orders of a bivariate autoregressive model

DOI10.1016/0165-1765(86)90236-3zbMath1328.62532OpenAlexW2089606445WikidataQ126353032 ScholiaQ126353032MaRDI QIDQ899880

Mitsuhiro Odaki

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(86)90236-3

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Identification of multivariate AR-models by threshold accepting

Cites Work

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• Estimating the dimension of a model
• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• Selection of the order of an autoregressive model by Akaike's information criterion
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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