Short run and long run causality in time series: inference
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Publication:291702
DOI10.1016/J.JECONOM.2005.02.003zbMATH Open1337.62358OpenAlexW2116393040WikidataQ130544088 ScholiaQ130544088MaRDI QIDQ291702FDOQ291702
Authors: Jean-Marie Dufour, Denis Pelletier, Eric Renault 
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cirano.qc.ca/files/publications/2003s-61.pdf
Recommendations
Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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Cited In (22)
- Two-step adaptive model selection for vector autoregressive processes
- Inference on local causality and tests of non-causality in time series
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- Comparison of local projection estimators for proxy vector autoregressions
- Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
- Long-run covariability
- Testing for Granger causality in large mixed-frequency VARs
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- Short run and long run causality in time series: inference
- Testing for short- and long-run causality: a frequency-domain approach
- Testing for Granger causality with mixed frequency data
- Speed of adjustment in cointegrated systems
- Directed graphs and variable selection in large vector autoregressive models
- On the sensitivity of Granger causality to errors-in-variables, linear transformations and subsampling
- Identification-Robust Inference With Simulation-Based Pseudo-Matching
- ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
- Short and long run causality measures: theory and inference
- Persistence-robust surplus-lag Granger causality testing
- Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
- Granger-causal analysis of GARCH models: a Bayesian approach
- Short Run and Long Run Causality in Time Series: Theory
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