A bootstrap test for causality with endogenous lag length choice: theory and application in finance
Year of publication: |
2012
|
---|---|
Authors: | Hacker, Scott ; Hatemi‐J, Abdulnasser |
Published in: |
Journal of Economic Studies. - Emerald Group Publishing Limited, ISSN 1758-7387, ZDB-ID 1480042-1. - Vol. 39.2012, 2, p. 144-160
|
Publisher: |
Emerald Group Publishing Limited |
Subject: | Causality | VAR model | Stability | Endogenous lag | ARCH | Leverages | Bootstrap | Economic stability | Finance |
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