Concepedia

A consistent nonparametric test for nonlinear causality—Specification in time series regression

Yoshihiko Nishiyama, Kohtaro Hitomi, Yoshinori Kawasaki, Kiho Jeong

Journal of Econometrics · 2011 · 315 citations · 26 references

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References

26

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Clive W. J. Granger · Econometrica · 1969 · 22.9K citations

, , +8

MONEY, INCOME, AND CAUSALITY

Christopher A. Sims · American Economic Review · 1972 · 2.9K citations

, , +7

Inference in Linear Time Series Models with some Unit Roots

Christopher A. Sims, James H. Stock, Mark W. Watson · Econometrica · 1990 · 2.6K citations

, , +10

Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation

Craig Hiemstra, Jonathan D. Jones · The Journal of Finance · 1994 · 1.4K citations

, , +17

Distribution of the Ratio of the Mean Square Successive Difference to the Variance

John von Neumann · The Annals of Mathematical Statistics · 1941 · 955 citations · Full text

, , +4