Effects of additive outliers on granger-causality tests, a monte-carlo simulations study
Description
| Title: | Effects of additive outliers on granger-causality tests, a monte-carlo simulations study |
| Authors: | Baldé, Thierno aliou |
| Date: | 2002 |
| Abstract: | Finite samples of the coefficients associated to Granger causality and size and power of Granger causality test are analyzed using Model-Carlo simulations. We established that additive outliers have not asymptotic effects on size and power of the Granger |
| URL: | http://hdl.handle.net/10393/25114 |
| Collection | Science économique - Mémoires // Economics - Research Papers |
Files
| 2002_balde_thierno-aliou.pdf | 401.41 kB | Adobe PDF | Open |