Finite-sample simulation-based inference in VAR models with application to Granger causality testing

A-Tier

Journal: Journal of Econometrics

Year: 2006

Volume: 135

Issue: 1-2

Pages: 229-254

Authors (2)

Dufour, Jean-Marie (McGill University) Jouini, Tarek (not in RePEc)

Score contribution per author:

2.018 = (α=2.02 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count