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Multivariate out-of-sample tests for Granger causality

  • Gelper, Sarah
  • Croux, Christophe
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-4M3RMC2-2/2/a4fd1a8c335b6d23b6f069938734da8b
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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    1. Ericsson, Neil R., 1992. "Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 465-495, August.
    2. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers.
    3. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
    4. Russell Davidson & James G. MacKinnon, 1994. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," Working Papers 903, Queen's University, Department of Economics.
    5. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September.
    6. Siani, Carole & de Peretti, Christian, 2007. "Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2442-2460, February.
    7. 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.
    8. Harvey, David I & Leybourne, Stephen J & Newbold, Paul, 1998. "Tests for Forecast Encompassing," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 254-59, April.
    9. Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
    10. Lemmens, A. & Croux, C. & Dekimpe, M.G., 2005. "On the Predictive Content of Production Surveys : a Pan-European Study," Other publications TiSEM adab9f0e-7dfd-4dc4-bd92-b, Tilburg University, School of Economics and Management.
    11. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
    12. 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.
    13. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-67, July.
    14. Prado, Raquel & Molina, Francisco & Huerta, Gabriel, 2006. "Multivariate time series modeling and classification via hierarchical VAR mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1445-1462, December.
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