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Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing. (2005). Dufour, Jean-Marie ; Jouini, Tarek .
In: Cahiers de recherche.
RePEc:mtl:montde:2005-12.

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Cited: 7

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Cites: 66

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Cocites: 50

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  1. Testing Subspace Granger Causality. (2016). Al-Sadoon, Majid.
    In: Working Papers.
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  2. Testing subspace Granger causality. (2015). Al-Sadoon, Majid.
    In: Economics Working Papers.
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  3. Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship. (2007). Hill, Jonathan.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:22:y:2007:i:4:p:747-765.

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  4. Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics. (2006). Dufour, Jean-Marie.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:133:y:2006:i:2:p:443-477.

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  5. Causation Delays and Causal Neutralization up to Three Steps Ahead: The Money-Output Relationship Revisited. (2005). Hill, Jonathan.
    In: Econometrics.
    RePEc:wpa:wuwpem:0503016.

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  6. Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics. (2005). Dufour, Jean-Marie.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2005-03.

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  7. Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics. (2005). Dufour, Jean-Marie.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2005s-02.

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References

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  50. Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights. (2000). Kim, Tae-Hwan ; Stone, Douglas ; White, Halbert.
    In: University of California at San Diego, Economics Working Paper Series.
    RePEc:cdl:ucsdec:qt5h98h28m.

    Full description at Econpapers || Download paper

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