Hidalgo, Javier - Suntory and Toyota International Centres for Economics … - 2003
This paper examines a nonparametric test for Granger-causality for a vector covariance stationary linear process under, possibly, the presence of long-range dependence. We show that the test converges to a non-distribution free multivariate Gaussian process, say vec (B(µ)) indexed by µ ?...