کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097640 | 1376601 | 2006 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Non-causality in bivariate binary time series
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Non-causality in bivariate binary time series Non-causality in bivariate binary time series](/preview/png/5097640.png)
چکیده انگلیسی
In this paper we develop a dynamic discrete-time bivariate probit model, in which the conditions for Granger non-causality can be represented and tested. The conditions for simultaneous independence are also worked out. The model is extended in order to allow for covariates, representing individual as well as time heterogeneity. The proposed model can be estimated by Maximum Likelihood. Granger non-causality and simultaneous independence can be tested by Likelihood Ratio or Wald tests. A specialized version of the model, aimed at testing Granger non-causality with bivariate discrete-time survival data is also discussed. The proposed tests are illustrated in two empirical applications.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 132, Issue 2, June 2006, Pages 379-407
Journal: Journal of Econometrics - Volume 132, Issue 2, June 2006, Pages 379-407
نویسندگان
Rocco Mosconi, Raffaello Seri,