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Nonlinear Granger Causality: Guidelines for Multivariate Analysis (replicatio...
We propose an extension of the bivariate nonparametric Diks-Panchenko Granger non-causality test to multivariate settings. We first show that the asymptotic theory for the... -
Small-sample confidence intervals for multivariate impulse response functions...
Existing methods for constructing confidence bands for multivariate impulse response functions may have poor coverage at long lead times when variables are highly persistent....
