Granger-causality in cointegrated VAR processes. The case of the term structure

DOI10.1016/0165-1765(92)90002-GzbMath0775.62238MaRDI QIDQ2366938

Hans-Eggert Reimers, Helmut Lütkepohl

Publication date: 23 August 1993

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (5)

Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx ⋮ Aggregation over time, error correction models and Granger causality: ⋮ Estimation of cointegrated models with exogenous variables ⋮ Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes ⋮ Inference on one-way effect and evidence in Japanese macroeconomic data

Cites Work

• Unnamed Item
• Statistical analysis of cointegration vectors
• Inference in Linear Time Series Models with some Unit Roots
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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