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Granger causality approaches have been widely used to estimate effective connectivity in complex dynamic systems. These techniques are based on the building of predictive models which not only depend on a proper selection of the predictive vectors size but also on the chosen class of regression functions. The question addressed in this paper is the estimation of the model order in the computation...
Increasing the innovativeness of a country is a known way to uplift its people, but how to increase the innovativeness of a country is not well understood. In this paper, we develop such an understanding by analyzing time series of global competitiveness index data and of development indicators data. Specifically, we estimate causative factors of innovation that countries can invest in or otherwise...
Granger causality has been used for the investigation of the inter-dependence structure of the underlying systems of multivariate time series. In particular, the direct causal effects are commonly estimated by the conditional Granger causality index (CGCI). In the presence of many observed variables and relatively short time series, CGCI may fail because it is based on vector autoregressive models...
To assess influence or information exchange between functional valued signals, we propose to extend the notion of Granger causality when stochastic processes are series of random variables in functional Hilbert spaces. We give strong definitions for Granger causality and instantaneous coupling using conditional independence. We then discuss a weaker form of the definitions which are valid for second...
This paper studies the impact of RMB nominal exchange rate on Sino-US trade balance. We find that there is a co-integration relationship among Sino-US trade balance, RMB nominal exchange rate, American real income and Chinese real income, and Sino-US trade balance is more sensitive to RMB nominal exchange rate, 1% devaluation in RMB will cause an increase of 5.71% in Sino-US trade balance. We also...
Based on the econometric methods, the paper analyzes that how the financial crisis impact on the price guidance function between Chinese futures market and spot market. The research shows:there is co-integration relationship and error correction between Chinese futures market and spot market before financial crisis, while after financial crisis the time series of Chinese futures market and spot market...
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