Test de causalite indirecte entre deux series extraites d'un modele vectoriel autoregressif stationnaire

C. Bruneau

Working Papers from Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.

Abstract: Nous proposons une procedure de test pour analyser les liens de causalite indirects entre des series chronologiques extraites d'un systeme multivarie dont la dynamique est caracterise par un model vectoriel autoregressif stationnaire d'ordre fini.

Keywords: TESTS; SERIES CHRONOLOGIQUES (search for similar items in EconPapers)
JEL-codes: C20 C22 (search for similar items in EconPapers)
Pages: 31 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pnegmi:9615

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