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NonLinearGranger

于 2017-12-06 发布 文件大小:1KB
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  经济学家开拓了一种试图分析变量之间的格兰杰因果关系的办法,即格兰杰因果关系检验。该检验方法为2003年诺贝尔经济学奖得主克莱夫·格兰杰(Clive W. J. Granger)所开创,用于分析经济变量之间的格兰杰因果关系。他给格兰杰因果关系的定义为“依赖于使用过去某些时点上所有信息的最佳最小二乘预测的方差。”(granger causality test)

文件列表:

kf.m, 130, 2015-01-27
a.m, 1153, 2015-01-27
nonlinear_granger.m, 2433, 2015-03-04

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