HOW TO SELECT A REASONABLE LAG ORDER FOR TESTING LINEAR GRANGER CAUSALITY?
Date
2008Author
Sheng, W
Nishimura, H
Kaewcharoen, A
Nzimbi, BM
Pokhariyal, GP
Khalagai, JM
Robbins, N
Type
ArticleLanguage
enMetadata
Show full item recordAbstract
We derive a new criterion for the optimal and efficient selection of the number of
lags in the context of testing linear Granger causality environment in the sense of theory and
empirics respectively, which may be better in empirics than those suggested
Citation
Sheng, W., Nishimura, H., Kaewcharoen, A., Nzimbi, B. M., Pokhariyal, G. P., Khalagai, J. M., ... & Robbins, N. (2008). HOW TO SELECT A REASONABLE LAG ORDER FOR TESTING LINEAR GRANGER CAUSALITY?. Far East Journal of Mathematical Sciences (FJMS), 28(2), 257-272.Publisher
University of Nairobi. School of Mathematics