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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
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Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 225 (2021) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
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Short run and long run causality in time series : inference
Dufour, Jean-Marie; Pelletier, Denis; Renault, Eric - In: Journal of econometrics 132 (2006) 2, pp. 337-362
Persistent link: https://www.econbiz.de/10003348758
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Testing for short- and long-run causality : a frequency-domain approach
Breitung, Jörg; Candelon, Bertrand - In: Journal of econometrics 132 (2006) 2, pp. 363-378
Persistent link: https://www.econbiz.de/10003348759
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Granger causality and path diagrams for multivariate time series
Eichler, Michael - In: Journal of econometrics 137 (2007) 2, pp. 334-353
Persistent link: https://www.econbiz.de/10003441751
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Short and long run causality measures : theory and inference
Dufour, Jean-Marie; Taamouti, Abderrahim - In: Journal of econometrics 154 (2010) 1, pp. 42-58
Persistent link: https://www.econbiz.de/10003931784
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A consistent characteristic function-based test for conditional independence
Su, Liangjun; White, Halbert - In: Journal of econometrics 141 (2007) 2, pp. 807-834
Persistent link: https://www.econbiz.de/10003571354
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A consistent nonparametric test for nonlinear causality : specification in time series regression
Nishiyama, Yoshihiko; Hitomi, Kohtaro; Kawasaki, Yoshinori - In: Journal of econometrics 165 (2011) 1, pp. 112-127
Persistent link: https://www.econbiz.de/10009374481
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Geometric and long run aspects of Granger causality
Sadoon, Majid M. al- - In: Journal of econometrics 178 (2014) 1, pp. 558-568
Persistent link: https://www.econbiz.de/10010256866