A non-parametric approach to non-linear causality testing

被引：41
|
作者：
Bell, D
Kay, J
Malley, J
机构：
[1] UNIV GLASGOW, DEPT STAT, GLASGOW G12 8QW, LANARK, SCOTLAND
[2] UNIV STIRLING, DEPT ECON, STIRLING FK9 4LA, SCOTLAND
来源：
ECONOMICS LETTERS | 1996年 / 51卷 / 01期
关键词：
non-linear Granger causality; non-parametric estimation;
D O I：
10.1016/0165-1765(95)00791-1
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we propose a new procedure for causality testing using non-parametric additive models. Our results suggest that the major advantage of our method is that it can be applied if the underlying data generation process is either linear or non-linear.
引用
收藏
页码：7 / 18
页数：12
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