Results 1 to 10 of about 69,881 (208)
New considerations on the validity of the Wiener-Granger causality test [PDF]
Heliyon, 2020 The Wiener-Granger causality test is used to predict future experimental results from past observations in a purely mathematical way. For instance, in many scientific papers this test has been used to study the causality relations in the case of neuronal
Greta Grassmann
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Multivariate out-of-sample tests for Granger causality. [PDF]
Computational Statistics & Data Analysis, 2006 A time series is said to Granger cause another series if it has incremental predictive power when forecasting it. While Granger causality tests have been studied extensively in the univariate setting, much less is known for the multivariate case. In this
Croux, Christophe, Gelper, Sarah
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An Out of Sample Test for Granger Causality [PDF]
, 2000 Granger (1980) summarizes his personal viewpoint on testing for causality, and outlines what he considers to be a useful operational version of his original definition of causality (Granger (1969)), which he notes was partially alluded to in Wiener (1958)
Norman R. Swanson
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Testing for Spectral Granger Causality [PDF]
The Stata Journal: Promoting communications on statistics and Stata, 2015 In this article, I introduce a command (bcgcausality) to implement Breitung and Candelon's (2006, Journal of Econometrics, 132: 363–378) Granger causality test in the frequency domain.
Tastan, Hüseyin, Tastan, Hüseyin
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Hubungan Antara Perkembangan Sektor Keuangan dengan Volatilitas Ekonomi di Indonesia
Economic Journal of Emerging Markets, 2009 The study is conducted to analyze the causal relationship between financial sector development and economic volatility in Indonesia during the period of 1983.2-2000.4. The study uses three kinds of variables as proxies to the financial sector development.
Romi Mulyadi H.
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The relationships between ASEAN stock markets: A spectral Granger causality approach
Tạp chí Khoa học Đại học Mở Thành phố Hồ Chí Minh - Kinh tế và Quản trị kinh doanh, 2021 This article collects data of ASEAN6’s daily stock returns to investigate the relationships among them by traditional Granger causality test in combination with spectral Granger causality test.
Trần Thị Tuấn Anh
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Meta-Granger Causality Testing [PDF]
SSRN Electronic Journal, 2015 Understanding the (causal) mechanisms at work is important for formulating evidence-based policy. But evidence from observational studies is often inconclusive with many studies finding conflicting results. In small to moderately sized samples, the outcome of Granger causality testing heavily depends on the lag length chosen for the underlying vector ...
Stephan B. Bruns, David I. Stern
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Хабаршысы. Экономика сериясы, 2023 Turkey adopted a policy of openness with the decisions of January 24, 1980. The openness policy implemented by Turkey has significantly increased the ability of the Turkish economy to attract foreign capital, with the effect of increasing international ...
Yılmaz Ulvi UZUN, Hakan KAYA
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THE ROLE OF RELIGIOUS TOURISM IN SUSTAINABLE DEVELOPMENT IN SAUDI ARABIA: EVIDENCE FROM QUANTILE NON-CAUSALITY TEST [PDF]
Geo Journal of Tourism and Geosites, 2019 This paper empirically examines the role of religious tourism in sustainable development to the projection of Saudi Arabia 2030. This study observes the causal relationship between hajj pilgrims and economic growth in the KSA by conducting a quantile ...
Mohamed Bilel TRIKI
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Testing for Granger Causality in Panel Data [PDF]
The Stata Journal: Promoting communications on statistics and Stata, 2017 With the development of large and long panel databases, the theory surrounding panel causality evolves quickly, and empirical researchers might find it difficult to run the most recent techniques developed in the literature. In this article, we present the community-contributed command xtgcause, which implements a procedure proposed by Dumitrescu and ...
Lopez, Luciano, Weber, Sylvain
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