Granger causality, exogeneity, cointegration, and economic policy analysis

DOI10.1016/j.jeconom.2013.08.030zbMath1293.91157OpenAlexW3121332481MaRDI QIDQ2511789

Halbert White, Davide Pettenuzzo

Publication date: 6 August 2014

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

Full work available at URL: http://www.brandeis.edu/economics/RePEc/brd/doc/Brandeis_WP36.pdf

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 (3)

THE LINEAR SYSTEMS APPROACH TO LINEAR RATIONAL EXPECTATIONS MODELS ⋮ Geometric and long run aspects of Granger causality ⋮ Estimation of cointegrated models with exogenous variables

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