Nonparametric Test for Causality with Long-range Dependence
نویسندگان
چکیده
منابع مشابه
Long Range Dependence
The notion of long range dependence is discussed from a variety of points of view, and a new approach is suggested. A number of related topics is also discussed, including connections with non-stationary processes, with ergodic theory, self-similar processes and fractionally differenced processes, heavy tails and light tails, limit theorems and large deviations.
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ژورنال
عنوان ژورنال: Econometrica
سال: 2000
ISSN: 0012-9682,1468-0262
DOI: 10.1111/1468-0262.00168