Title of article :
A model-free characterization of causality
Author/Authors :
Mustapha Baghli، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Abstract :
This paper introduces a nonparametric characterization of causality relying on information-theoretic statistics and proposes a causality testing procedure robust to the presence of potential nonlinearities. Monte Carlo simulations suggest that the test performs well in a nonlinear context.
Keywords :
Fast double bootstrap test , Nonlinearity , Information-theoretic statistics , Causality in information
Journal title :
Economics Letters
Journal title :
Economics Letters
