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|Title:||Testing for Granger Causality in the Presence of Chaotic Dynamics|
|Subjects:||FRASCATI::Social sciences::Economics and Business::Economics|
|Source:||Brussels Economic Review|
|Abstract:||An increasing number of recent articles applying powerful tests for non-linear causality have fuelled interest in discovering complex dynamics in macroeconomic and financial data. This paper is an attempt to add to the set of available tools by proposing a test for determining the source of causal relationships when a certain class of complex dynamics, that includes chaotic non-linearities, is present.|
|Appears in Collections:||Department of Applied Informatics |
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