Nonparametric Test for Causality with Long-Range Dependence
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Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 68 (2000)
Issue (Month): 6 (November)
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- 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.
- 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.
- Hidalgo, J., 2008. "Specification testing for regression models with dependent data," Journal of Econometrics, Elsevier, vol. 143(1), pages 143-165, March.
- Hidalgo, J., 2005. "A bootstrap causality test for covariance stationary processes," Journal of Econometrics, Elsevier, vol. 126(1), pages 115-143, May.
- Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics.
- 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.
- Li, Yushu, 2012. "Estimating Long Memory Causality Relationships by a Wavelet Method," Working Papers 2012:15, Lund University, Department of Economics.
- Baghli, Mustapha, 2006. "A model-free characterization of causality," Economics Letters, Elsevier, vol. 91(3), pages 380-388, June.
- 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.
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