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Robust Optimal Tests For Causality In Multivariate Time Series

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  • Saidi, Abdessamad
  • Roy, Roch
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 24 (2008)
    Issue (Month): 04 (August)
    Pages: 948-987

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    Handle: RePEc:cup:etheor:v:24:y:2008:i:04:p:948-987_08

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    Cited by:
    1. Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
    2. Javier Ruiz-Castillo, 2012. "From the “European Paradox” to a European Drama in citation impact," Economics Working Papers we1211, Universidad Carlos III, Departamento de Economía.
    3. Abderrahim Taamouti & Taoufik Bouezmarni & Anouar El Ghouch, 2012. "Nonparametric estimation and inference for Granger causality measures," Economics Working Papers we1217, Universidad Carlos III, Departamento de Economía.
    4. Bai, Zhidong & Wong, Wing-Keung & Zhang, Bingzhi, 2010. "Multivariate linear and nonlinear causality tests," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 5-17.
    5. Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, vol. 169(2), pages 293-300.

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