Comparing alternative tests of causality in temporal systems. Analytic results and experimental evidence

DOI10.1016/0304-4076(83)90012-XMaRDI QIDQ1836262zbMATH OpenOpenAlexFDO

Authors Richard Meese, John Geweke, Warren T. Dent

Publication date 1983

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

Full work available at URL https://doi.org/10.1016/0304-4076(83)90012-x

zbMATH Keywords

approximate slopecomparing alternative tests of causality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cites work

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Cited in

(10)

• Testing causality using efficiently parametrized vector ARMA models
• The relative performance of bivariate causality tests in small samples
• Modelling the causal relationship between energy consumption and GDP in new Zealand, Australia, India, Indonesia, the Philippines and Thailand.
• Dynamic contagion of systemic risks on global main equity markets based on Granger causality networks
• Linear and nonlinear causality between signals: methods, examples and neurophysiological applications
• Nonlinearity and Endogeneity in Macro-Asset Pricing
• An empirical re-examination of the dividend–investment relation
• Unit roots and cointegration in estimating causality between exports and economic growth:
• An empirical investigation among real, monetary and financial variables
• On Wiener-Granger causality, information and canonical correlation

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