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Nonparametric Test for Causality with Long-Range Dependence

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  • Javier Hidalgo
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    Article provided by Econometric Society in its journal Econometrica.

    Volume (Year): 68 (2000)
    Issue (Month): 6 (November)
    Pages: 1465-1490

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    Handle: RePEc:ecm:emetrp:v:68:y:2000:i:6:p:1465-1490

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    Cited by:
    1. Javier Hidalgo, 2003. "A Bootstrap Causality Test for Covariance Stationary Processes," STICERD - Econometrics Paper Series /2003/462, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Hidalgo, J., 2005. "A bootstrap causality test for covariance stationary processes," Journal of Econometrics, Elsevier, vol. 126(1), pages 115-143, May.
    3. Hidalgo, J., 2008. "Specification testing for regression models with dependent data," Journal of Econometrics, Elsevier, vol. 143(1), pages 143-165, March.
    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. Javier Hidalgo & Yoshihiro Yajima, 2001. "Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain," STICERD - Econometrics Paper Series /2001/418, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    6. Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, vol. 169(2), pages 293-300.
    7. Hidalgo, Javier, 2002. "Consistent order selection with strongly dependent data and its application to efficient estimation," Journal of Econometrics, Elsevier, vol. 110(2), pages 213-239, October.
    8. Javier Hidalgo, 2003. "A bootstrap causality test for covariance stationary processes," LSE Research Online Documents on Economics 6848, London School of Economics and Political Science, LSE Library.
    9. Aviral Tiwari & Mihai Mutascu, 2014. "A revisit on the tax burden distribution and GDP growth: fresh evidence using a consistent nonparametric test for causality for the USA," Empirical Economics, Springer, vol. 46(3), pages 961-972, May.
    10. Javier Hidalgo, 2002. "Consistent Order Selection with Strongly Dependent Data and its Application to Efficient Estimation," STICERD - Econometrics Paper Series /2002/430, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    11. Javier Hidalgo, 2002. "Consistent order selection with strongly dependent data and its application to efficient estimation," LSE Research Online Documents on Economics 6856, London School of Economics and Political Science, LSE Library.
    12. Baghli, Mustapha, 2006. "A model-free characterization of causality," Economics Letters, Elsevier, vol. 91(3), pages 380-388, June.
    13. Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
    14. Li, Yushu, 2012. "Estimating Long Memory Causality Relationships by a Wavelet Method," Working Papers 2012:15, Lund University, Department of Economics.

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