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Title: Testing for Granger Causality in the Presence of Chaotic Dynamics
Authors: Hristu-Varsakelis, Dimitrios
Kyrtsou, Catherine
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Economics
Issue Date: 2013
Source: Brussels Economic Review
Volume: 53
Issue: 2
First Page: 323
Last Page: 327
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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