On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling-Reference-Cited by-同舟云学术

On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling

Author:

Anderson Brian D.O.¹²³,Deistler Manfred⁴⁵,Dufour Jean‐Marie⁶⁷⁸

Affiliation:

1. School of Automation Hangzhou Dianzi University Hangzhou China

2. Research School of Engineering, ANU College of Engineering and Computer Science Australian National University Acton Australia

3. Data61‐CSIRO Canberra Australia

4. Technische Universität Wien, Institut für Stochastik und Wirtschaftsmathematik, Forschungsgruppe Ökonometrie und Systemtheorie Wien Austria

5. Institute for Advanced Studies Vienna Austria

6. Department of Economics McGill University Montréal Canada

7. Centre interuniversitaire de recherche en analyse des organisations (CIRANO) Montréal Canada

8. Centre interuniversitaire de recherche en ‘economie quantitative (CIREQ) Montréal Canada

Funder

Australian Research Council

Austrian Science Fund

Commonwealth Scientific and Industrial Research Organisation

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

Reference63 articles.

5. Granger causality for state‐space models;Barnett LC;Physical Review E,2015

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