Estimating Long Memory Causality Relationships by a Wavelet Method
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References listed on IDEAS
- Mark J. Jensen, 1997.
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Citations
Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Some Recent Papers on Granger Causality
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-12-03 00:30:00
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More about this item
Keywords
Granger causality; long memory; Monte Carlo simulation; wavelet domain;JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-05-29 (Econometrics)
- NEP-ETS-2012-05-29 (Econometric Time Series)
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