Journal of the Korean Data and Information Science Society
- 제18권1호
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- Pages.195-210
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- 2007
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- 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)
- 발행 : 2007.02.28
초록
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 (