Persistence-robust surplus-lag Granger causality testing
对持续性稳健的增广滞后 Granger 因果检验AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要在 VARX 框架中研究多类持续性时间序列的 Granger 因果检验。
对持续性稳健的增广滞后 Granger 因果检验AI 解读 ↓
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Previous literature has introduced causality tests with conventional limiting distributions in I(0)/I(1) vector autoregressive (VAR) models with unknown integration orders, based on an additional surplus lag in the specification of the estimated equation, which is not included in the tests. By extending this surplus lag approach to an infinite order VARX framework, we show that it can provide a highly persistence-robust Granger causality test that accommodates i.a stationary, nonstationary, local-to-unity, long-memory, and certain (unmodelled) structural break processes in the forcing variables within the context of a single χ2 null limiting distribution.