Cross-correlation matrices for tests of independence and causality between two multivariate time series
Year of publication: |
2015
|
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Authors: | Robbins, Michael W. ; Fisher, Thomas J. |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 33.2015, 4, p. 459-473
|
Subject: | Granger causality | Residual diagnostics | Vector | ARMA | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Kausalanalyse | Causality analysis |
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