2018/06/18

[경제학의 철학] Hassani et al. (2011), “A comprehensive causality test based on the singular spectrum analysis” 요약 정리 (미완성)

[ Hossein Hassani, Anatoly Zhigljavsky, Kerry Patterson, and Abdol S. Soof (2011), “A comprehensive causality test based on the singular spectrum analysis”, in P. Illari et al. (eds.)(2011), Causality in the Sciences (Oxford University Press), pp. 379-. ]

18.1 Introduction

18.2 Singular spectral analysis

18.2.1 A short description of the Basic SSA

18.2.2 Multivariate singular spectrum analysis: MSSA

18.3 Causality criteria

18.3.1 Forecasting accuracy based criterion

18.3.2 Direction of change based criterion

18.3.3 Comparison with Granger causality test

18.4 Empirical results

18.4.1 Exchange rate

18.4.2 Index of industrial production series

18.5 Conclusion

18.1 Introduction

18.2 Singular spectral analysis

18.2.1 A short description of the Basic SSA

18.2.2 Multivariate singular spectrum analysis: MSSA

18.3 Causality criteria

18.3.1 Forecasting accuracy based criterion

18.3.2 Direction of change based criterion

18.3.3 Comparison with Granger causality test

18.4 Empirical results

18.4.1 Exchange rate

18.4.2 Index of industrial production series

18.5 Conclusion

(2023.04.29.)

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