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|Testing for Granger Causality in the Presence of Chaotic Dynamics
|FRASCATI::Social sciences::Economics and Business::Economics
|Brussels Economic Review
|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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