Predictive testing for Granger causality via posterior simulation and cross-validation
Year of publication: |
2019
|
---|---|
Authors: | Cornwall, Gary J. ; Mills, Jeffrey Alan ; Sauley, Beau A. ; Weng, Huibin |
Published in: |
Topics in identification, limited dependent variables, partial observability, experimentation, and flexible modelling ; Part A. - Bingley, UK : Emerald Publishing, ISBN 978-1-78973-242-9. - 2019, p. 275-292
|
Subject: | Granger causality | predictive testing | posterior simulation | cross-validation | out-of-sample testing | Monte Carlo | Kausalanalyse | Causality analysis | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Statistischer Test | Statistical test | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Stichprobenerhebung | Sampling |
-
Predictive Testing for Granger Causality via Posterior Simulation and Cross-validation
Cornwall, Gary J., (2019)
-
Ghysels, Eric, (2020)
-
A bootstrap stationarity test for predictive regression invalidity
Georgiev, Iliyan, (2019)
- More ...
-
Predictive Testing for Granger Causality via Posterior Simulation and Cross-validation
Cornwall, Gary J., (2019)
-
Resolving some paradoxes and problems with Bayesian precise hypothesis testing
Mills, Jeffrey Alan, (2008)
-
A robust, uniformly most powerful unit root test
Mills, Jeffrey Alan, (2009)
- More ...