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Kirchgaessner, Gebhard

Einige neuere statistische Verfahren zur Erfassung kausaler Beziehungen zwischen Zeitreihen. Darstellung und Kritik. (German) Zbl 0484.62116

Angewandte Statistik und Ökonometrie, Heft 19. Göttingen: Vandenhoeck & Ruprecht. 190 S. DM 49.00 (1981).
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MSC:

62P20 Applications of statistics to economics
62-02 Research exposition (monographs, survey articles) pertaining to statistics
90-02 Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming
91B84 Economic time series analysis
91B06 Decision theory
62P25 Applications of statistics to social sciences
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)

Keywords:

Granger causality; direct Granger test; Sims test; Haugh Pierce test; instantaneous causality; feedback; bivariate model; bivariate autoregressive moving average model
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