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Testing conditional independence in macroeconomic policy evaluation for time series data
Fang, Ying; Lin, Ming; Tang, Shengfang; Cai, Zongwu - 2021
Persistent link: https://www.econbiz.de/10012663950
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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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A projective approach to conditional independence test for dependent processes
Zhou, Yeqing; Zhang, Yaowu; Zhu, Liping - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 398-407
Persistent link: https://www.econbiz.de/10012804124
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Measuring granger causality in quantiles
Song, Xiaojun; Taamouti, Abderrahim - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 937-952
Persistent link: https://www.econbiz.de/10012653205
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The locally Gaussian partial correlation
Otneim, Håkon; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 924-936
Persistent link: https://www.econbiz.de/10013534580
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Estimating time-varying networks for high-dimensional time series
Chen, Jia; Li, Degui; Li, Yuning; Linton, Oliver - 2022 - Version: December 13, 2022
Persistent link: https://www.econbiz.de/10013503856
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Localized neural network modelling of time series : a case study on us monetary policy
Gao, Jiti; Liu, Fei; Peng, Bin; Yang, Yanrong - 2024
Persistent link: https://www.econbiz.de/10015073806
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Does US news impact Asian emerging markets? : evidence from nonparametric causality-in-quantiles test
Balcilar, Mehmet; Cakan, Esin; Gupta, Rangan - In: The North American journal of economics and finance : a … 41 (2017), pp. 32-43
Persistent link: https://www.econbiz.de/10011878928
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Nonparametric Impulse Response Analysis in Changing Macroeconomic Conditions
Nyberg, Henri; Lanne, Markku - 2021
We introduce a simple nonparametric approach to compute impulse response functions. We first search for clusters of recurrent patterns of observations resembling two sets of given initial conditions, one of which contains the impact effect of the structural shock of interest. Then, to trace out...
Persistent link: https://www.econbiz.de/10013216683