Testing non-correlation and non-causality between multivariate arma time series
Marc Hallin () and
ULB Institutional Repository from ULB -- Universite Libre de Bruxelles
Keywords: Granger causality; Multivariate autoregressive moving-average (VARMA) models; Non-correlation; Time series (search for similar items in EconPapers)
Note: SCOPUS: ar.j
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Published in: Journal of time series analysis (2005) v.26 nÂ° 1,p.83-105
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Journal Article: Testing Non-Correlation and Non-Causality between Multivariate ARMA Time Series (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ulb:ulbeco:2013/127945
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