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Testing non-correlation and non-causality between multivariate arma time series

Marc Hallin () and Abdessamad Saidi

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)
Date: 2005-01
Note: SCOPUS: ar.j
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Published in: Journal of time series analysis (2005) v.26 n° 1,p.83-105

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