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Test de causalite indirecte entre deux series extraites d'un modele vectoriel autoregressif stationnaire

Author

Listed:
  • Bruneau, C.

Abstract

Nous proposons une procedure de test pour analyser les liens de causalite indirects entre des series chronologiques extraites d'un systeme multivarie dont la dynamique est caracterise par un model vectoriel autoregressif stationnaire d'ordre fini.

Suggested Citation

  • Bruneau, C., 1996. "Test de causalite indirecte entre deux series extraites d'un modele vectoriel autoregressif stationnaire," Papers 9615, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
  • Handle: RePEc:fth:pnegmi:9615
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    TESTS; SERIES CHRONOLOGIQUES;

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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