Results 271 to 280 of about 21,282 (304)

The Effects of Detrending in Granger Causality Tests

Journal of Business & Economic Statistics, 1985
Nonstationary time series are frequently detrended in empirical investigations by regressing the series on time or a function of time. The effects of the detrending on the tests for causal relationships in the sense of Granger are investigated using quarterly U.S. data.
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Persistence-robust Granger causality testing [PDF]

, 2010
The observed persistence common in economic time series may arise from a variety of models that are not always distinguished with confidence in practice, yet play an important role in model specification and second stage inference procedures. Previous literature has introduced causality tests with conventional limiting distributions in I(0)/I(1)VAR ...
Dietmar Bauer, Alex Maynard
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Asymptotics for out of sample tests of Granger causality

Journal of Econometrics, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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).
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Testing for Granger-Causality in Expectiles With An Application to Financial Contagion

SSRN Electronic Journal, 2022
Feipeng Zhang, Yixiong Xu, Di Yuan
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Testing Granger Causality in the presence of threshold effects

International Journal of Forecasting, 2006
Abstract This paper proposes a Granger Causality test allowing for threshold effects. The proposed test can be conducted on the basis of the threshold autoregressive distributed lag model or the augmented logistic smooth transition autoregressive model. The proposed test is applied to the U.S.
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Transfer Function Modeling and Granger Causality Testing

2012
In this chapter we fit univariate and bivariate time series models in the tradition of Box and Jenkins (1976) and Granger and Newbold (1977) and apply traditional Granger causality testing following the Ashley et al. (1980) methodology. Second, we estimate Vector Autoregressive Models (VAR) and Chen and Lee (1990) Vector ARMA (VARMA) causality test. We
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Testing for Granger causality using a partial coherence statistic

Signal Processing, 2023
Louis Scharf, Yuan Wang 0048
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A Procedure for Testing Granger Causality of Infinite Order

International Journal of Business and Economics, 2011
None
Fathali Firoozi, Donald Lien
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A Kernel Test of Nonlinear Granger Causality

2008
We present a novel test of nonlinear Granger causality in bivariate time series. The trace norm of conditional covariance operators is used to capture the prediction errors. Based on this measure, a subsampling-based multiple testing procedure tests the prediction improvement of one time series by the other one.
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