Noncausality in VAR-ECM models with purely exogeneous long-run paths

DOI10.1016/S0165-1765(99)00267-0zbMATH Open0953.91050OpenAlexW2150604806MaRDI QIDQ1978557FDOQ1978557

Authors: Christophe Rault 

Publication date: 4 June 2000

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00267-0

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zbMATH Keywords

Monte Carlocointegrationnoncausalitystructural hypothesis

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Title not available (Why is that?)
• Statistical analysis of cointegration vectors
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• A comparison of tests of linear hypothesis in cointegrated vector autoregressive models

Cited In (3)

• Non-causality in VAR-ECM models with purely exogenous long-run paths
• Estimation of cointegrated models with exogenous variables
• A survey of exogeneity in vector error correction models

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