Testing non-correlation and non-causality between multivariate arma time series

Journal of Time Series Analysis

Volumn 26, Issue 1, 2005, Pages 83-105

  Hallin, Marc ^a   Saidi, Abdessamad ^a  

^a UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

Author keywords

Granger causality; Multivariate autoregressive moving average (VARMA) models; Non correlation; Time series

Indexed keywords

EID: 12444297919     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2005.00391.x     Document Type: Article

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