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

dc.contributor.author	Baldé, Thierno aliou
dc.contributor.supervisor	Rodriguez, Gabriel
dc.date.accessioned	2013-08-27T19:52:53Z
dc.date.available	2013-08-27T19:52:53Z
dc.date.created	2002
dc.date.issued	2002
dc.description.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
dc.identifier.uri	http://hdl.handle.net/10393/25114
dc.language.iso	en
dc.title	Effects of additive outliers on granger-causality tests, a monte-carlo simulations study

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