Ciuiu, Daniel
(2011):
*Bayes multivariate signification tests and Granger causality.*
Published in: Proceedings of the Conference “Predictability in Nonlinear Dynamical Systems: the Economic Crises”, Faculty of Applied Sciences, Politechnical University, Bucharest, October 5, 2011,
(5 October 2011): pp. 48-56.

Preview |
PDF
MPRA_paper_48945.pdf Download (145kB) | Preview |

## Abstract

The Granger causality test is reduced, after co-integration, to the test of the fact that some coeﬃcients of linear regressions are equal to zero or not. In this paper we will build multi-variate Bayes tests for the signiﬁcation of the parameters of linear regression provided by the above Granger causality, instead of using the classical F statistics. We will consider the cases of known variance, respectively unknown variance. Because we replace in practice the Student tests by the Z tests if the involved number of degrees of freedom is at least 30, we can replace in our paper the case of unknown variance with that of known variance, if the above number of degrees of freedom is at least 30.

Item Type: | MPRA Paper |
---|---|

Original Title: | Bayes multivariate signification tests and Granger causality |

Language: | English |

Keywords: | Bayes multi-variate test, Granger causality |

Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes |

Item ID: | 48945 |

Depositing User: | Daniel Ciuiu |

Date Deposited: | 09 Aug 2013 13:06 |

Last Modified: | 02 Oct 2019 16:46 |

References: | [1] Ciuiu, D., 2007. ”Bayes, Neyman and Neyman—Bayes Inference for Queueing Systems”, Mathematical Modelling in Civil Engineering (Scientific Bulletin of Technical University of Civil Engineering, Bucharest), 4, pp. 46-57. [2] Ciuiu, D., 2010. ”Informational Criteria for the Homoskedasticity of the Errors”, Romanian Journal of Economic Forecasting, XIII(2), pp. 231-244. [3] Ciumara, R., 2005. ”A Bayesian Approach in the Collective Risk Model Involving Weighted Quadratic Loss Function”, Mathematical Reports, Vol. 7(57), No. 1, pp. 21-37. [4] Dumitrescu, M. and Panaite, V., 2003. ”Complete Neyman—Bayes Estimation Procedures for the Mean of a Normal Distribution”, Analele Universit˘at¸ii Bucure¸sti, 1, pp. 31-43. [5] Gelman, A. at al., 2000. Bayesian Data Analysys, Chapman & Hall/CRC. [6] Jula, D., 2003. Introducere ˆın econometrie, Ed. Professional Consulting, Bucharest. [7] Jun S. Liu, 1996. ”Nonparametric hierarhical Bayes via sequential imputations”, The Annals of Statistics, 24(3), pp. 911-930. 54 [8] Lo, A.Y and Cabrera, J., 1987. ”Bayes procedures for rotationally symmetric models on the sphere”, The Annals of Statistics, 15(3), pp. 1257-1268. [9] Preda, V., 1992. Teoria deciziilor statistice, Ed. Academiei, Bucharest. [10] Saporta, G., 1990. Probabilit´es, Analyse des Don´ees et Statistique, Editions Technip, Paris. [11] V˘aduva, I., 2004. Modele de Simulare, Bucharest University Printing House. [12] Voineagu, V. et al., 2006. Econometric Theory and Practice, Meteor Press, Bucharest (Romanian). [13] Indicators of Sustainable Developement: Guidelines and Methodologies, United Nations, 2001, www.un.org/esa/sustdev/publications/indisd-mg2001.pdf. [14] GDP per capita in Purchasing Power Standards (PPS), http://epp/eurostat. ec.europa.eu/tgm/table.do?tab=table&init=1&plugin=1&language=en&pcode=tsieb010. |

URI: | https://mpra.ub.uni-muenchen.de/id/eprint/48945 |