Effects of additive outliers on granger-causality tests, a monte-carlo simulations study

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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
CollectionScience économique - Mémoires // Economics - Research Papers
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