VAR Granger causality/block exogeneity wald test.
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VAR Granger causality/block exogeneity wald test.
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2020-01-22
相关数据集
Lag structure of estimations.
These data structures contain the optimal lag structures used in the estimations. The optimal lags are given in separate .mat files for the Long dataset (labeled with 25 in the filenames) and Short da
NIAID Data Ecosystem60
The number of trading days (out of total 3334 days) that have at least one Granger-causality test (from lag 1 to lag 5) with a significant result at 0.1 level.
The rows are the responses and the columns are the hypotheses tested in the Granger causality tests stated in Eq (9) and Eq (10).
NIAID Data Ecosystem30
P-values of the Granger test for causality between PDSI (C) and seasonal annual run-off (T) using variable lags between 0 and 11 years.
P-values of the Granger test for causality between PDSI (C) and seasonal annual run-off (T) using variable lags between 0 and 11 years.
NIAID Data Ecosystem20
The percentage of the variance, R2, of the data samples described by the contagion model of Eq 1, assuming that the news videos, V, cause the patterns seen in the data (V → I).
Also shown are the R2 under the assumption that the temporal patterns in the data samples cause the temporal patterns in the news videos (I → V). The p-values testing for Granger causality between the
Figshare2015-12-03 更新50
Adjacency matrices sample of test statistics
The matlab file contains 105 matrices of size 70 by 70. The entries of each matrix is a pairwise Granger Causality test statistic calculated from a selection of 70 European financial firm's weekly tim
DataCite Commons2024-02-01 更新30
