Factor double autoregressive models with application to simultaneous causality testing
Year of publication: |
2013-11-09
|
---|---|
Authors: | Guo, Shaojun ; Ling, Shiqing ; Zhu, Ke |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Asymptotic Normality | Causality-in-mean | Causality-in-variance | Factor DAR model | Instantaneous causality | Score test | Strong consistency |
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