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Econometrics Paper
A Bootstrap Causality Test for Covariance Stationary Processes

Javier Hidalgo

This paper examines a nonparametric test for Granger-causality for a vector covariance stationary linear process under, possibly, the presence of long-range dependence. We show that the test converges to a non-distributi...Read more...

November 2003

Econometrics Paper
Nonparametric Test for Causality with Long-Range Dependence - (Now published in 'Econometrica', 68, (2000) pp.1465-1490.

Javier Hidalgo

This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against co...Read more...

April 2000