Parcourir Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications par sujet "Granger causality"

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  • Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing 

    Dufour, Jean Marie; Jouini, Tarek (Université de Montréal. Département de sciences économiques., 2005)
    Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading even with ...

  • Short run and long run causality in time series: Inference 

    Dufour, Jean Marie; Pelletier, Denis; Renault, Éric (Université de Montréal. Département de sciences économiques., 2003)
    We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at ...