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

DOI10.1016/S0165-1765(99)00267-0MaRDI QIDQ1978557zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

cointegrationMonte Carlononcausalitystructural hypothesis

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• A comparison of tests of linear hypothesis in cointegrated vector autoregressive models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Statistical analysis of cointegration vectors
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK

Cited in

(3)

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

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