causality measures typically involve complex functions of model parameters in VAR and VARMA models, we propose a simple method …

Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving … general simulation-based technique that allows one to control completely the level of tests in parametric VAR models. In …. The technique developed is applied to quarterly and monthly VAR models of the U.S. economy, comprising income, money …

Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving … general simulation-based technique that allows one to control completely the level of tests in parametric VAR models. In … considered as special cases. The technique developed is applied to quarterly and monthly VAR models of the U.S. economy …

, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at … applied to a VAR model of the U.S. economy. Nous proposons des méthodes pour tester des hypothèses de non-causalité à … différents horizons, tel que défini dans Dufour et Renault (1998, Econometrica). Nous étudions le cas des modèles VAR en détail …

Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving … general simulation-based technique that allows one to control completely the level of tests in parametric VAR models. In …. The technique developed is applied to quarterly and monthly VAR models of the U.S. economy, comprising income, money …