Multivariate out-of-sample tests for Granger causality

Computational Statistics and Data Analysis

Volumn 51, Issue 7, 2007, Pages 3319-3329

  Gelper, Sarah ^a   Croux, Christophe ^a  

^a UNIVERSITY OF LEUVEN   (Belgium)

Author keywords

Consumer sentiment; Granger causality; Multivariate time series; Out of sample tests

Indexed keywords

COMPUTER SIMULATION; DATA REDUCTION; FORECASTING; GRAPHIC METHODS; REGRESSION ANALYSIS;

CONSUMER SENTIMENTS; GRANGER CAUSALITY; MULTIVARIATE TIME SERIES; OUT OF SAMPLE TESTS;

TIME SERIES ANALYSIS;

EID: 33847339744     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.09.021     Document Type: Article

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