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| Test przyczynowości Granger Dolado-Lütkepohl× | Test przyczynowości Grangera× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina≠ | Hypothesis test | Regression model |
| Rok powstania≠ | 1996 | 1969 |
| Twórca≠ | Juan Dolado & Helmut Lütkepohl | Clive W. J. Granger |
| Typ≠ | Modified Wald test for Granger causality in possibly integrated or cointegrated VAR systems | Time-series predictive causality test |
| Źródło pierwotne≠ | Dolado, J. J., & Lütkepohl, H. (1996). Making Wald tests work for cointegrated VAR systems. Econometric Reviews, 15(4), 369–386. DOI ↗ | Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. DOI ↗ |
| Inne nazwy | DL Causality Test, Modified Wald Causality Test, Augmented VAR Causality Test, Dolado-Lütkepohl Testi | Granger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi |
| Pokrewne≠ | 2 | 5 |
| Podsumowanie≠ | The Dolado-Lütkepohl (DL) test, introduced by Dolado and Lütkepohl (1996), is a modified Wald procedure for testing Granger causality in vector autoregressive (VAR) systems whose variables may be integrated or cointegrated. By fitting a VAR of slightly higher order than necessary and restricting the Wald statistic to the first p lag blocks, the test recovers the standard chi-squared limiting distribution without requiring pre-testing for cointegration or transformation to error-correction form. | The Granger causality test, introduced by Clive W. J. Granger in 1969, assesses whether the past values of one time series help predict another beyond what the latter's own past already explains. It defines causality in a strictly predictive sense rather than as a structural or physical cause. |
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