MULTIVARIATE SUBSET AUTOREGRESSIVE MODELING WITH ZERO CONSTRAINTS FOR DETECTING OVERALL CAUSALITY

被引：19
|
作者：
PENM, JHW
TERRELL, RD
机构：
来源：
JOURNAL OF ECONOMETRICS | 1984年 / 24卷 / 03期
关键词：
D O I：
10.1016/0304-4076(84)90056-3
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
引用
下载
收藏
页码：311 / 330
页数：20
相关论文
共 50 条
  • [1] CAUSALITY ANALYSIS AND MULTIVARIATE AUTOREGRESSIVE MODELING WITH AN APPLICATION TO SUPERMARKET SALES ANALYSIS
    CAINES, PE
    KENG, CW
    SETHI, SP
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1981, 3 (03): : 267 - 298
  • [2] AUTOREGRESSIVE MODELING OF EARNINGS-INVESTMENT CAUSALITY
    BARYOSEF, S
    CALLEN, JL
    LIVNAT, J
    JOURNAL OF FINANCE, 1987, 42 (01): : 11 - 28
  • [3] CLINICAL USEFULNESS OF MULTIVARIATE AUTOREGRESSIVE (AR) MODELING AS A TOOL FOR ANALYZING LYMPHOCYTE-T SUBSET FLUCTUATIONS
    WADA, T
    YAMADA, H
    INOUE, H
    ISO, T
    UDAGAWA, E
    KURODA, S
    MATHEMATICAL AND COMPUTER MODELLING, 1990, 14 : 610 - 613
  • [4] AUTOREGRESSIVE MODELING AND MONEY-INCOME CAUSALITY DETECTION
    HSIAO, C
    JOURNAL OF MONETARY ECONOMICS, 1981, 7 (01) : 85 - 106
  • [5] Multivariate autoregressive modeling of fMRI time series
    Harrison, L
    Penny, WD
    Friston, KJ
    NEUROIMAGE, 2003, 19 (04) : 1477 - 1491
  • [6] Autoregressive forests for multivariate time series modeling
    Tuncel, Kerem Sinan
    Baydogan, Mustafa Gokce
    PATTERN RECOGNITION, 2018, 73 : 202 - 215
  • [7] Application of multivariate autoregressive modeling for the nasal cycle
    Hoshino, Kiyoshi
    IECON 2007: 33RD ANNUAL CONFERENCE OF THE IEEE INDUSTRIAL ELECTRONICS SOCIETY, VOLS 1-3, CONFERENCE PROCEEDINGS, 2007, : 2537 - 2541
  • [8] INFORMATION CONTRACTION AND EXTRACTION BY MULTIVARIATE AUTOREGRESSIVE MODELING
    MORISHIMA, N
    ANNALS OF NUCLEAR ENERGY, 1993, 20 (02) : 129 - 136
  • [9] TESTING CAUSALITY BETWEEN 2 VECTORS IN MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE MODELS
    BOUDJELLABA, H
    DUFOUR, JM
    ROY, R
    JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1992, 87 (420) : 1082 - 1090
  • [10] Detecting direct causality in multivariate time series: A comparative study
    Papana, Angeliki
    Siggiridou, Elsa
    Kugiumtzis, Dimitris
    COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, 2021, 99
12345