Kullback Causality Measures

In this paper we propose causality measures based on the Kullback Information Criterion. These causality measures are applicable in a general context which contains, as special cases, the stationary autoregressive case, considered by GEWEKE, and qualitative models. Estimators of these measures and test procedures are proposed. The nesting of the hypotheses and the asymptotic independence of the test statistics are carefully studied.

MoreLess

Year of publication:	1987
Authors:	GOURIEROUX, Christian ; MONFORT, Alain ; RENAULT, Eric
Published in:	Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1987, 6-7, p. 369-410
Publisher:	École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)

More details

Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005065892