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Keywords: Time-varying granger-causality approach
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Journal Articles
Journal:
Journal of Economic Studies
Journal of Economic Studies (2025) 52 (5): 904–918.
Published: 16 August 2024
... Granger-causality test in the presence of instabilities introduced by Rossi and Wang (2019), and combine it with the innovative rolling and recursive bootstrap time-varying Granger-causality approach of Shi et al. (2020). These methods were chosen for their capacity to effectively capture...
Includes: Supplementary data
