Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach
Year of publication: |
2014
|
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Authors: | Ashley, Richard A. ; Tsang, Kwok Ping |
Published in: |
Econometrics. - MDPI, Open Access Journal, ISSN 2225-1146. - Vol. 2.2014, 1, p. 72-91
|
Publisher: |
MDPI, Open Access Journal |
Subject: | time series | Granger-causality | causality | post-sample testing | exchange rates |
Extent: | application/pdf text/html |
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Type of publication: | Article |
Classification: | B23 - Econometrics; Quantitative Studies ; C - Mathematical and Quantitative Methods ; C00 - Mathematical and Quantitative Methods. General ; C01 - Econometrics ; C1 - Econometric and Statistical Methods: General ; C2 - Econometric Methods: Single Equation Models ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C4 - Econometric and Statistical Methods: Special Topics ; C5 - Econometric Modeling ; C8 - Data Collection and Data Estimation Methodology; Computer Programs |
Source: |
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