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Estimation theory / Autoregressive conditional heteroskedasticity / Regression analysis / Causality / Vector autoregression / Economic model / Autoregressive–moving-average model / Maximum likelihood / Time series / Statistics / Time series analysis / Econometrics


Testing Causality Between Two Vectors in Multivariate GARCH Models
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Document Date: 2013-08-05 02:22:00

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File Size: 336,88 KB

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City

Victoria / London / Florence / /

Company

EUI Time Series Econometrics Working Group / Renault / /

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Facility

European University Institute / Economics The University of Melbourne Parkville VIC / University of Melbourne / Arts West Building / /

Holiday

Assumption / /

IndustryTerm

cross-products / stationary solution / numerical optimization algorithms / analytical solutions / /

Organization

University of Melbourne / University of Melbourne Parkville VIC / Department of Economics / European University Institute / Australia Department of Economics / Department of Economics Working Paper Series Testing Causality Between Two Vectors / /

Person

Lennart Hoogerheide / Herman van Dijk / Constant Conditional / Timo Ter¨asvirta / Vance Martin / Tomasz Wo´zniaka / Tomasz Wo´zniak / Helmut Herwartz / Helmut Lutkepohl / /

Position

author / rt / Dt rt / /

ProvinceOrState

Victoria / /

Technology

Metropolis-Hastings algorithm / numerical optimization algorithms / /

URL

www.economics.unimelb.edu.au / http /

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