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

DOI10.1016/S0304-4076(99)00084-6MaRDI QIDQ1586548zbMATH OpenFDO

Authors Feng Yao, Yuzo Hosoya

Publication date 29 March 2001

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

Full work available at URL https://doi.org/10.1016/S0304-4076(99)00084-6

zbMATH Keywords

asymptotic theorycointegrationGranger's non-causalityJapanese macroeconomylikelihood ratio statisticmaximum-likelihood estimationmeasures of one-way effecttesting causalityVAR modelWald statistic

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

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• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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• Measures of Conditional Linear Dependence and Feedback Between Time Series
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• On the Granger Condition for Non-Causality
• Statistical analysis of cointegration vectors
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• Vector Autoregressions and Causality

Cited in

(2)

• Testing for short- and long-run causality: a frequency-domain approach
• Testing for frequency domain causality in the vector error correction model

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