第三种情况:不管变量是否平稳,不管变量间是否存在协整关系,我们可以直接在水平数据上应用Wald检验来检验线性或非线性约束。这就是Toda Yamamoto 方法,简称TY-Granger方法。 TY方法保证了统计量服从渐进卡方分布,保证了格兰杰因果检验的有效性。 三、TY-granger方法步骤(E-Views) 1、单位根检验:确定积整阶数。尽量进行交...
在探索经济现象的因果关系时，Toda-Yamamoto (TY) 格兰杰因果检验作为一种强大的工具，为我们揭示变量间潜在的因果链条提供了关键见解。TY方法的核心理念是，若X的历史信息能够提升Y的预测精度，那么我们说X Granger-cause Y。检验过程严谨且依赖于VAR模型的参数，通过Wald检验来判断这种线性关系是否显著。首...
Toda-Yamamoto 翻译结果3复制译文编辑译文朗读译文返回顶部 户田山本 翻译结果4复制译文编辑译文朗读译文返回顶部 toda-yamamoto 翻译结果5复制译文编辑译文朗读译文返回顶部 一切 相关内容 a我很开心,因为这个寒假非常精彩 I am very happy, because this winter vacation is extremely splendid[translate] ...
R语言EG(Engle-Granger)两步法协整检验、RESET、格兰杰因果检验、VAR模型分析消费者价格指数CPI和生产者...
This is an R function to perform the Toda-Yamamoto causality test (Toda & Yamamoto, 1995), a test of the null hypothesis than one time series does not "Granger-cause" another one. A time series X is considered a Granger cause of another time series Y if past values of X and Y predi...
Stock MarketsCausalityToda Yamamoto AnalysisEmerging CountriesIn this study, the causal relationship between the fastest growing emerging countries (Emerging 7) stock markets is discussed. In the study, Turkey, India, IndoSocial Science Electronic Publishing...
Finally, the results of Toda and Yamamoto approach show that the nominal interest rate has a positive relationship and affects inflation on a large scale in the three countries that we study, while inflation influences interest rate only in Germany. 展开 ...
后危机时代人民币汇率与中国股价动态关系--基于滚动相关系数和Toda-Yamamoto检验的分析 研究2008年国际金融危机爆发后的汇率与股价波动关系,对于中国防范金融风险,完善资本市场和外汇形成机制具有重要的理论和现实意义.本文根据股价与汇率因果关系的分类,... 孙刚,李树文 - 《财经问题研究》 被引量: 4发表: 2015年 ...
建立VAR(p+d),p是原来的VAR的滞后阶数，d是你的几个变量最大的单整阶数
et al. Testing the long-run impact of economic growth, energy consumption, and globalization on ecological footprint: new evidence from Fourier bootstrap ARDL and Fourier bootstrap Toda–Yamamoto test results. Environ Sci Pollut Res 30, 42873–42888 (2023). https://doi.org/10.1007/s11356-022...