Predictive testing for Granger causality via posterior simulation and cross-validation

Gary J. Cornwall, Jeffrey A. Mills, Beau A. Sauley and Huibin Weng

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

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz im Buch ; Book section
Language:	English
Other identifiers:	10.1108/S0731-90532019000040A012 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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