{"title":"检验格兰杰因果关系的贝叶斯灵活模型","authors":"Iván Gutiérrez, Danilo Alvares, Luis Gutiérrez","doi":"10.1016/j.ecosta.2024.08.001","DOIUrl":null,"url":null,"abstract":"A new Bayesian hypothesis testing procedure for evaluating the Granger causality between two or more time series is proposed. The test is based on a flexible model for the joint evolution of multiple series, where a latent binary matrix indicates whether there is a Granger-causal relationship between such time series. The model is specified through a dependent Geometric stick-breaking process that generalizes the standard parametric Gaussian vector autoregression model, whereas the prior distribution of the latent matrix ensures a multiple testing correction. A Monte Carlo simulation study is provided for comparing the robustness of the proposed hypothesis test with state-of-the-art alternatives. The results show that this proposal performs better than competing approaches. Finally, the new test is applied to real economic data.","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"3 1","pages":""},"PeriodicalIF":2.0000,"publicationDate":"2024-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A Bayesian flexible model for testing Granger causality\",\"authors\":\"Iván Gutiérrez, Danilo Alvares, Luis Gutiérrez\",\"doi\":\"10.1016/j.ecosta.2024.08.001\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"A new Bayesian hypothesis testing procedure for evaluating the Granger causality between two or more time series is proposed. The test is based on a flexible model for the joint evolution of multiple series, where a latent binary matrix indicates whether there is a Granger-causal relationship between such time series. The model is specified through a dependent Geometric stick-breaking process that generalizes the standard parametric Gaussian vector autoregression model, whereas the prior distribution of the latent matrix ensures a multiple testing correction. A Monte Carlo simulation study is provided for comparing the robustness of the proposed hypothesis test with state-of-the-art alternatives. The results show that this proposal performs better than competing approaches. Finally, the new test is applied to real economic data.\",\"PeriodicalId\":54125,\"journal\":{\"name\":\"Econometrics and Statistics\",\"volume\":\"3 1\",\"pages\":\"\"},\"PeriodicalIF\":2.0000,\"publicationDate\":\"2024-08-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometrics and Statistics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1016/j.ecosta.2024.08.001\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics and Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1016/j.ecosta.2024.08.001","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
A Bayesian flexible model for testing Granger causality
A new Bayesian hypothesis testing procedure for evaluating the Granger causality between two or more time series is proposed. The test is based on a flexible model for the joint evolution of multiple series, where a latent binary matrix indicates whether there is a Granger-causal relationship between such time series. The model is specified through a dependent Geometric stick-breaking process that generalizes the standard parametric Gaussian vector autoregression model, whereas the prior distribution of the latent matrix ensures a multiple testing correction. A Monte Carlo simulation study is provided for comparing the robustness of the proposed hypothesis test with state-of-the-art alternatives. The results show that this proposal performs better than competing approaches. Finally, the new test is applied to real economic data.
期刊介绍:
Econometrics and Statistics is the official journal of the networks Computational and Financial Econometrics and Computational and Methodological Statistics. It publishes research papers in all aspects of econometrics and statistics and comprises of the two sections Part A: Econometrics and Part B: Statistics.