Non-causality in VAR-ECM models with purely exogeneous long-run paths
AbstractWe propose in this paper a framework based on a canonical representation of the long run matrix, which can constitute a basis for Granger non-causality testing in a VAR-ECM model using asymptotically Chi-square distributed Wald test statistics, and that unlike Giannini and Mosconi (1992), permits to clearly distinguish the nullity of some parameter blocks we can always achieve without any loss of generality, of the nullity of the parameter blocks resulting from the non-causality property. This canonical representation requires to determine the specific rank of a particular sub-matrix, which can be done using sequential test procedure, whose properties are analysed in small and large samples with Monte Carlo experiments.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 67 (2000)
Issue (Month): 2 (May)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Rault, Christophe, 2000. "Non-causality in VAR-ECM models with purely exogenous long-run paths," Economics Letters, Elsevier, Elsevier, vol. 66(1), pages 7-15, January.
- Rault, C., 1999. "Non-Causality in VAR-ECM Models with Purely Exogeneous Long-Run Paths," Papiers d'Economie MathÃƒÂ©matique et Applications, UniversitÃƒÂ© PanthÃƒÂ©on-Sorbonne (Paris 1) 1999.44, UniversitÃƒÂ© PanthÃƒÂ©on-Sorbonne (Paris 1).
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Christophe Rault, 2005.
"Further Results on Weak-Exogeneity in Vector Error Correction Models,"
Documents de recherche, Centre d'Ã‰tudes des Politiques Ã‰conomiques (EPEE), UniversitÃ© d'Evry Val d'Essonne
05-12, Centre d'Ã‰tudes des Politiques Ã‰conomiques (EPEE), UniversitÃ© d'Evry Val d'Essonne.
- Christophe Rault, 2004. "Further results on weak-exogeneity in vector error correction models," Econometric Society 2004 Far Eastern Meetings, Econometric Society 402, Econometric Society.
- L'Horty, Yannick & Rault, Christophe, 2003. "The Impact of Growth, Labour Cost and Working Time on Employment: Lessons from the French Experience," IZA Discussion Papers 871, Institute for the Study of Labor (IZA).
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