Measuring Nonlinear Granger Causality in Mean
نویسندگان
چکیده
منابع مشابه
Measuring Nonlinear Granger Causality in Mean∗
We propose model-free measures for Granger causality in mean between random variables. Unlike the existing measures, ours are able to detect and quantify nonlinear causal effects. The new measures are based on nonparametric regressions and defined as logarithmic functions of restricted and unrestricted mean square forecast errors. They are easily and consistently estimated by replacing the unkn...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2017
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2016.1166118