Linear and Non-linear Causality Test in a LSTAR model - wavelet decomposition in a non-linear environment
Year of publication: |
2010-04-10
|
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Authors: | Li, Yushu ; Shukur, Ghazi |
Institutions: | Centre of Excellence for Science and Innovation Studies, Kungliga Tekniska Högskolan (KTH) |
Subject: | Granger causality | LSTAR model | Wavelet multiresolution | Monte Carlo simulation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series KTH/CESIS Working Paper Series in Economics and Institutions of Innovation Number 227 17 pages |
Classification: | C01 - Econometrics ; C10 - Econometric and Statistical Methods: General. General ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing |
Source: |
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