Michael H. Neumann

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  • , Org Breitung, Norman R Swanson, Maike Burda, Clive W J Granger, Helmut Lä +1 other
  • 1998
Large aggregation interval asymptotics are used to investigate the relation between Granger causality in disaggregated vector autoregressions (VARs) and associated contemporaneous correlation among innovations of the ag-gregated system. Our approach allows us to better understand the infor-mational content in non-diagonal error covariance matrices, which(More)
Degenerate U-and V-statistics play an important role in the field of hypothesis testing since numerous test statistics can be formulated in terms of these quantities. Therefore, consistent bootstrap methods for U-and V-statistics can be applied in order to approximate critical values of those tests. First, we prove a new asymptotic result for degenerate(More)
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