Tests for Long-Run Granger Non-Causality in Cointegrated Systems
From MaRDI portal
Publication:3440764
DOI10.1111/j.1467-9892.2006.00484.xzbMath1112.62104OpenAlexW2158831795MaRDI QIDQ3440764
Publication date: 29 May 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/16968/070econDP03-12.pdf
Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items
Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions ⋮ Geometric and long run aspects of Granger causality ⋮ Testing for Granger causality with mixed frequency data ⋮ Speed of adjustment in cointegrated systems
Cites Work
- Unnamed Item
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Statistical analysis of cointegration vectors
- Impulse response analysis of cointegrated systems
- The spurious effect of unit roots on vector autoregressions. An analytical study
- Statistical inference in vector autoregressions with possibly integrated processes
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
- Inference in Linear Time Series Models with some Unit Roots
- EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Short Run and Long Run Causality in Time Series: Theory
- THE RANK OF A SUBMATRIX OF COINTEGRATION
- Fully Modified Least Squares and Vector Autoregression
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models