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. 4856.

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Abstract
The Granger causality test is reduced, after cointegration, to the test of the fact that some coeﬃcients of linear regressions are equal to zero or not. In this paper we will build multivariate 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 multivariate 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  TimeSeries 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 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/48945 