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Mitigating the effects of measurement noise on Granger causality
9 references·1 citing·36 second hop
Mitigating the effects of measurement noise on Granger causality (2007)Mitigating the effects of measurement noi…Assessing causality from multivariate time series (2005)Assessing causality from mult…Granger causality and information flow in multivariate processes (2004)Granger causality and informa…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…The decomposition and measurement of the interdependency between second-order stationary processes (1991)The decomposition and measure…Velocity and the Variability of Money Growth: Evidence from Granger-Causality Tests: Note (1987)Velocity and the Variability …Lag-Length Selection and Tests of Granger Causality Between Money and Income (1985)Lag-Length Selection and Test…Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Measurement of Linear Depende…Causality in temporal systems (1977)Causality in temporal systemsInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Multiscale Granger causality (2017)Multiscale Granger causalityMONEY, INCOME, AND CAUSALITY (1972)Time Series Analysis: Forecasting and Control (1977)The International Crash of October 1987 (1988)Modelling the causal relationship between energy consumption and GDP in New Zealand, Australia, India, Indonesia, The Philippines and Thailand (2003)Granger causality in risk and detection of extreme risk spillover between financial markets (2009)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Is technological innovation making world "Greener"? An evidence from changing growth story of China (2020)The impact of technological innovation and public‐private partnership investment on sustainable environment in China: Consumption‐based carbon emissions analysis (2020)Do public-private partnerships in energy and renewable energy consumption matter for consumption-based carbon dioxide emissions in India? (2021)Long- and short-term interest rates in a risky world (1983)Lag-Length Selection and Tests of Granger Causality Between Money and Income (1984)Velocity and the growth of money in the United States, 1970–1985 (1989)Open Access and the Evolution of the U. S. Spot Market for Natural Gas (1994)Random Walks, Breaking Trend Functions, and the Chaotic Structure of the Velocity of Money (1995)Comparing alternative tests of causality in temporal systems (1983)Consciousness and Complexity (1998)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)Testing for causality (1980)Information transfer at multiple scales (2007)Simulation Study of Direct Causality Measures in Multivariate Time Series (2013)Time series prediction: Forecasting the future and understanding the past (1994)Information transfer in continuous processes (2002)Cross-correlation of long-range correlated series (2009)Estimating the decomposition of predictive information in multivariate systems (2015)Granger Causality and Transfer Entropy Are Equivalent for Gaussian Variables (2009)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Energy consumption, real income and temporal causality: results from a multi-country study based on cointegration and error-correction modelling techniques (1996)On the temporal causal relationship between energy consumption, real income, and prices: Some new evidence from Asian-energy dependent NICs Based on a multivariate cointegration/vector error-correction approach (1997)Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship* (2019)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1982Measurement of Linear Dependence and Feedback Between Multiple Time Series2,056 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1977Causality in temporal systems600 cited
  • 1991The decomposition and measurement of the interdependency between second-order stationary processes348 cited
  • 1985Lag-Length Selection and Tests of Granger Causality Between Money and Income285 cited
  • 2004Granger causality and information flow in multivariate processes258 cited
  • 2005Assessing causality from multivariate time series133 cited
  • 1987Velocity and the Variability of Money Growth: Evidence from Granger-Causality Tests: Note76 cited

Cited by

  • 2017Multiscale Granger causality76 cited

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