Vector Autoregressions and Causality
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Publication:4286289
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(61)- Vector autoregressions with unknown mixtures of \(I(0)\), \(I(1)\), and \(I(2)\) components
- Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models
- Present value relations, Granger noncausality, and VAR stability
- Tests of Granger causality by the selection of the orders of a bivariate autoregressive model
- Subsampling vector autoregressive tests of linear constraints
- A bootstrap causality test for covariance stationary processes
- Tests of Noncausality under Markov Assumptions for Qualitative Panel Data
- Further analysis of spurious causality
- A note on the causality between export and productivity: an empirical re-examination
- On the evaluation of information flow in multivariate systems by the directed transfer function
- Large Spillover Networks of Nonstationary Systems
- Granger causality and the sampling of economic processes
- ESTIMATION AND INFERENCE ON LONG-RUN EQUILIBRIA: A SIMULATION STUDY
- Vector autoregression and causality: a theoretical overview and simulation study
- THE RANK OF A SUBMATRIX OF COINTEGRATION
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests
- Inference in possibly integrated vector autoregressive models: Some finite sample evidence
- Short run and long run causality in time series: inference
- Testing for short- and long-run causality: a frequency-domain approach
- Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process
- Granger-causality in Markov switching models
- MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
- Statistical inference in vector autoregressions with possibly integrated processes
- scientific article; zbMATH DE number 4078583 (Why is no real title available?)
- Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
- A consistent nonparametric test for nonlinear causality -- specification in time series regression
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Testing causality using efficiently parametrized vector ARMA models
- A survey of exogeneity in vector error correction models
- INTEGRATION OF GLOBAL CAPITAL MARKETS: AN EMPIRICAL EXPLORATION
- Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
- The spurious effect of unit roots on vector autoregressions. An analytical study
- Inference on one-way effect and evidence in Japanese macroeconomic data
- Inconsistency of bootstrap for nonstationary, vector autoregressive processes
- Empirical likelihood test for causality of bivariate AR(1) processes
- ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
- Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors
- Measuring frequency domain Granger causality for multiple blocks of interacting time series
- Simplified conditions for noncausality between vectors in multivariate ARMA models
- Credit, income, and causality: a contemporary co-integration analysis
- Kernel-based inference in time-varying coefficient cointegrating regression
- The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
- Fully modified least squares cointegrating parameter estimation in multicointegrated systems
- Vector autoregressive models with measurement errors for testing Granger causality
- Persistence-robust surplus-lag Granger causality testing
- A comparison of some common methods for detecting Granger noncausality
- Testing instantaneous linear Granger causality in presence of nonlinear dynamics
- Pushing the limit? Fiscal policy in the European Monetary Union
- A class of optimal tests for contemporaneous non-causality in VAR models
- Asymptotics for out of sample tests of Granger causality
- On causal and non-causal cointegrated vector autoregressive time series
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- CAUSAL LINKAGES AMONG SHANGHAI, SHENZHEN, AND HONG KONG STOCK MARKETS
- Economic fluctuations and fiscal policy in Europe: a political business cycles approach using panel data and clustering (1996--2013)
- A Linear Theory for Noncausality
- A comparison between tests for changes in the adjustment coefficients in cointegrated systems
- A note on hypothesis testing based on the fully modified vector autoregression
- Do core inflation measures help forecast inflation?: Out-of-sample evidence from French data
- The length of the effect of aggregate advertising on aggregate consumption
- A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems
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