Short and long run causality measures: theory and inference

DOI10.1016/J.JECONOM.2009.06.008zbMath1431.62364OpenAlexW1746116433WikidataQ130544083 ScholiaQ130544083MaRDI QIDQ2630148

Abderrahim Taamouti, Jean-Marie Dufour

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.06.008

zbMATH Keywords

bootstrapMonte Carlotime seriesinflationVARinterest ratesautoregressive modelmacroeconomicsGranger causalitypredictabilitymoneyoutputvector autoregressionindirect causalitycausality measuremultiple horizon causality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (13)

Simulation study of direct causality measures in multivariate time series ⋮ Monetary policy and long-run systemic risk-taking ⋮ Nonparametric tests for conditional independence using conditional distributions ⋮ Two-step adaptive model selection for vector autoregressive processes ⋮ Reprint of: On the network topology of variance decompositions: measuring the connectedness of financial firms ⋮ State-Space Analysis of Granger-Geweke Causality Measures with Application to fMRI ⋮ Nonparametric estimation and inference for conditional density based Granger causality measures ⋮ On the network topology of variance decompositions: measuring the connectedness of financial firms ⋮ Geometric and long run aspects of Granger causality ⋮ A justification of conditional confidence intervals ⋮ Inference on local causality and tests of non-causality in time series ⋮ On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling ⋮ Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Econometric specification of stochastic discount factor models
• Making a match: combining theory and evidence in policy-oriented macroeconomic modeling
• Short run and long run causality in time series: inference
• Handbook of econometrics. Volume 2
• Prediction of multivariate time series by autoregressive model fitting
• Causality in temporal systems. Characterizations and a Survey
• Linear prediction by autoregressive model fitting in the time domain
• Simplified conditions for noncausality between vectors in multivariate ARMA models
• Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
• Measures of Conditional Linear Dependence and Feedback Between Time Series
• Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment
• Some Recent Developments in Time Series Analysis, Correspondent Paper
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
• Some recent advances in time series modeling
• Recent developments in bootstrapping time series
• Short Run and Long Run Causality in Time Series: Theory
• IX. On the problem of the most efficient tests of statistical hypotheses
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

This page was built for publication: Short and long run causality measures: theory and inference