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Multivariate out-of-sample tests for Granger causality.

Sarah GelperChristophe Croux
Published in: Comput. Stat. Data Anal. (2007)
Keyphrases
  • granger causality
  • multivariate time series
  • impulse response
  • error correction
  • electricity consumption
  • causal relationships
  • functional connectivity
  • statistical tests
  • space variant