Results 11 to 20 of about 70,147 (305)
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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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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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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Testing subspace Granger causality [PDF]
Econometrics and Statistics, 2019 Abstract The methodology of multivariate Granger non-causality testing at various horizons is extended to allow for inference on its directionality. Empirical manifestations of these subspaces are presented and useful interpretations for them are provided.
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Capital flows under global uncertainties: Evidence from Turkey
Borsa Istanbul Review, 2021 This paper investigates the effects of global economic uncertainty and trade policy–related uncertainty in the US in predicting the bond and equity flows to Turkey during the period from January 2008 to November 2019.
Oğuzhan Çepni +3 more
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Istanbul Business Research, 2022 This paper examines the impact of COVID-19 cases and deaths on selected financial indicators in Turkey between March 2020 and July 2020. This study analyzes the causal relationship between COVID-19 and liquidity and risk perception in Turkey.
Sabri Burak Arzova +1 more
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Validity of Time Reversal for Testing Granger Causality [PDF]
IEEE Transactions on Signal Processing, 2016 Inferring causal interactions from observed data is a challenging problem, especially in the presence of measurement noise. To alleviate the problem of spurious causality, Haufe et al. (2013) proposed to contrast measures of information flow obtained on the original data against the same measures obtained on time-reversed data.
Irene Winkler +4 more
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Testing for Granger non-causality in heterogeneous panels [PDF]
Economic Modelling, 2012 Forthcoming
Dumitrescu, Elena Ivona +1 more
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