A graphical investigation of the size and power of the Granger-causality tests in integrated-cointegrated VAR systems

MaRDI QIDQ3368240zbMATH OpenFDO

Authors Panagiotis Mantalos

Publication date 27 January 2006

zbMATH Keywords

bootstrap testGranger causalitygraphical methodsintegrated-cointegrated (VAR) systems

Mathematics Subject Classification ID

Graphical methods in statistics (62A09) Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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(6)

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• A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems
• The relationship between budgetary expenditure and economic growth in Poland
• Anthropogenic global warming hypothesis: testing its robustness by Granger causality analysis

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