Journal of the Korean Data and Information Science Society
- Volume 18 Issue 1
- /
- Pages.195-210
- /
- 2007
- /
- 1598-9402(pISSN)
Nonparametric Granger Causality Test
- Jeong, Ki-ho (School of Economics and Trade, Kyungpook National University) ;
- Nishiyama, Yoshihiko (Institute of Economic Research, Kyoto University)
- Published : 2007.02.28
Abstract
This paper develops a consistent nonparametric test for Granger causality in the context of strong-mixing process, which covers a large class of stationary processes including ARMA and ARCH models. The previously proposed tests require absolute regularity (