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A Test for Granger-sausality in a multivariate ARMA model

✍ Scribed by R. W. Eberts; B. M. Steece

Book ID
105419883
Publisher
Springer-Verlag
Year
1984
Tongue
English
Weight
353 KB
Volume
9
Category
Article
ISSN
0377-7332

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## Abstract In this paper we propose Granger (non‐)causality tests based on a VAR model allowing for time‐varying coefficients. The functional form of the time‐varying coefficients is a logistic smooth transition autoregressive (LSTAR) model using time as the transition variable. The model allows f