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Multivariate out-of-sample tests for Granger causality

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  • Gelper, Sarah
  • Croux, Christophe
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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 51 (2007)
    Issue (Month): 7 (April)
    Pages: 3319-3329

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    Handle: RePEc:eee:csdana:v:51:y:2007:i:7:p:3319-3329

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    Web page: http://www.elsevier.com/locate/csda

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    1. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 134-44, January.
    2. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 16(2), pages 254-59, April.
    3. Neil R. Ericsson, 1991. "Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 412, Board of Governors of the Federal Reserve System (U.S.).
    4. Thomas A. Garrett & Rubén Hernández-Murillo & Michael T. Owyang, 2004. "Does consumer sentiment predict regional consumption?," Working Papers 2003-003, Federal Reserve Bank of St. Louis.
    5. Clark, Todd E. & McCracken, Michael W., 2001. "Tests of equal forecast accuracy and encompassing for nested models," Journal of Econometrics, Elsevier, Elsevier, vol. 105(1), pages 85-110, November.
    6. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, Econometric Society, vol. 48(5), pages 1149-67, July.
    7. Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics, EconWPA 9410002, EconWPA.
    8. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, Elsevier, vol. 95(2), pages 375-389, April.
    9. Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Papers, Queen's University, Department of Economics 903, Queen's University, Department of Economics.
    10. Ralf Ostermark & Jaana Aaltonen, 1999. "Comparison of univariate and multivariate Granger causality in international asset pricing. Evidence from Finnish and Japanese financial economies," Applied Financial Economics, Taylor & Francis Journals, vol. 9(2), pages 155-165.
    11. Prado, Raquel & Molina, Francisco & Huerta, Gabriel, 2006. "Multivariate time series modeling and classification via hierarchical VAR mixtures," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(3), pages 1445-1462, December.
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    Cited by:
    1. Joëts, Marc, 2014. "Energy price transmissions during extreme movements," Economic Modelling, Elsevier, vol. 40(C), pages 392-399.
    2. Qiao, Zhuo & McAleer, Michael & Wong, Wing-Keung, 2009. "Linear and nonlinear causality between changes in consumption and consumer attitudes," Economics Letters, Elsevier, vol. 102(3), pages 161-164, March.
    3. Bertrand Candelon & Marc Joëts & Sessi Tokpavi, 2012. "Testing for crude oil markets globalization during extreme price movements," EconomiX Working Papers 2012-28, University of Paris West - Nanterre la Défense, EconomiX.
    4. Forni, Mario & Gambetti, Luca, 2011. "Testing for Sufficient Information in Structural VARs," CEPR Discussion Papers 8209, C.E.P.R. Discussion Papers.
    5. Todorov, Valentin & Filzmoser, Peter, 2010. "Robust statistic for the one-way MANOVA," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(1), pages 37-48, January.
    6. Emrah İ. Çevik & Turhan Korkmaz & Erdal Atukeren, 2012. "Business confidence and stock returns in the USA: a time-varying Markov regime-switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 22(4), pages 299-312, February.
    7. Mario Forni & Luca Gambetti, 2011. "Sufficient information in structural VARs," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics 062, University of Modena and Reggio E., Dept. of Economics.
    8. repec:ipg:wpaper:28 is not listed on IDEAS
    9. Candelon, Bertrand & Joëts, Marc & Tokpavi, Sessi, 2013. "Testing for Granger causality in distribution tails: An application to oil markets integration," Economic Modelling, Elsevier, vol. 31(C), pages 276-285.

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