کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9555373 | 1376609 | 2005 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A bootstrap causality test for covariance stationary processes
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A bootstrap causality test for covariance stationary processes A bootstrap causality test for covariance stationary processes](/preview/png/9555373.png)
چکیده انگلیسی
This paper examines a nonparametric test for Granger-causality for a vector covariance stationary linear process under, possibly, the presence of long-range dependence. We show that the test converges to a nondistribution free multivariate Gaussian process, say vec(BÌ(μ)) indexed by μâ[0,1]. Because, contrary to the scalar situation, it is not possible, except in very specific cases, to find a time transformation g(μ) such that vec(BÌ(g(μ))) is a vector with independent Brownian motion components, it implies that inferences based on vec(BÌ(μ)) will be difficult to implement. To circumvent this problem, we propose to bootstrapping the test by two alternative, although similar, algorithms showing their validity and consistency.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 126, Issue 1, May 2005, Pages 115-143
Journal: Journal of Econometrics - Volume 126, Issue 1, May 2005, Pages 115-143
نویسندگان
J. Hidalgo,