Factor double autoregressive models with application to simultaneous causality testing
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More about this item
KeywordsAsymptotic Normality; Causality-in-mean; Causality-in-variance; Factor DAR model; Instantaneous causality; Score test; Strong consistency.;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-29 (All new papers)
- NEP-ECM-2013-11-29 (Econometrics)
- NEP-ETS-2013-11-29 (Econometric Time Series)
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