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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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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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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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Testing for Granger causality using a partial coherence statistic

Signal Processing, 2023
Louis Scharf, Yuan Wang 0048
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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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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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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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Variable-lag Granger Causality and Transfer Entropy for Time Series Analysis

ACM Transactions on Knowledge Discovery From Data, 2021
Tanya Y Berger-Wolf, Chainarong Amornbunchornvej, Elena Zheleva   +2 more
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Testing for Granger-causality in quantiles

Econometric Reviews, 2018
Victor Emilio Troster
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A Copula Nonlinear Granger Causality

Economic Modelling, 2020
Namgil Lee, Jong-Min Kim, Sun Young Hwang   +2 more
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