Kullback Causality Measures
AbstractIn this paper we propose causality measures based on the Kullback Information Criterion. These causality measures are applicable in a general context which contains, as special cases, the stationary autoregressive case, considered by GEWEKE, and qualitative models. Estimators of these measures and test procedures are proposed. The nesting of the hypotheses and the asymptotic independence of the test statistics are carefully studied.
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Bibliographic InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (1987)
Issue (Month): 6-7 ()
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- Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2014. "Nonparametric estimation and inference for conditional density based Granger causality measures," Journal of Econometrics, Elsevier, Elsevier, vol. 180(2), pages 251-264.
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