Inference on one-way effect and evidence in Japanese macroeconomic data

DOI10.1016/S0304-4076(99)00084-6zbMATH Open0957.62105MaRDI QIDQ1586548FDOQ1586548

Authors Feng Yao, Yuzo Hosoya 

Publication date 29 March 2001

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

zbMATH Keywords

asymptotic theorylikelihood ratio statisticcointegrationmaximum-likelihood estimationWald statisticVAR modelGranger's non-causalityJapanese macroeconomymeasures of one-way effecttesting causality

Mathematics Subject Classification ID

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

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Cites Work

• scientific article; zbMATH DE number 4147294 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• scientific article; zbMATH DE number 3323637 (Why is no real title available?)
• A Note on Noncausality
• A limit theory for long-range dependence and statistical inference on related models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Economic processes involving feedback
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Granger-causality in cointegrated VAR processes. The case of the term structure
• Inference in Linear Time Series Models with some Unit Roots
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• Measures of Conditional Linear Dependence and Feedback Between Time Series
• On the Granger Condition for Non-Causality
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Statistical analysis of cointegration vectors
• The Multivariate Portmanteau Statistic
• The decomposition and measurement of the interdependency between second- order stationary processes
• Vector Autoregressions and Causality

Cited In (1)

• Testing for short- and long-run causality: a frequency-domain approach

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