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)

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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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• On the Granger Condition for Non-Causality
• Vector Autoregressions and Causality
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• The decomposition and measurement of the interdependency between second- order stationary processes
• Measures of Conditional Linear Dependence and Feedback Between Time Series
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• A Note on Noncausality
• Economic processes involving feedback
• Granger-causality in cointegrated VAR processes. The case of the term structure
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Cited In (1)

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

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