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Causality tests and conditional heteroskedasticity: : Monte Carlo evidence

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  • Vilasuso, Jon

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 101 (2001)
Issue (Month): 1 (March)
Pages: 25-35

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Handle: RePEc:eee:econom:v:101:y:2001:i:1:p:25-35

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Stock, James H. & Watson, Mark W., 1989. "Interpreting the evidence on money-income causality," Journal of Econometrics, Elsevier, vol. 40(1), pages 161-181, January.
  2. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July.
  3. Robert F. Engle & David F. Hendry & David Trumble, 1985. "Small-Sample Properties of ARCH Estimators and Tests," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 66-93, February.
  4. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
  5. Lawrence J. Christiano & Martin S. Eichenbaum, 1986. "Temporal Aggregation and Structural Inference in Macroeconomics," NBER Technical Working Papers 0060, National Bureau of Economic Research, Inc.
  6. repec:att:wimass:9220 is not listed on IDEAS
  7. Lin, Wen-Ling, 1997. "Impulse Response Function for Conditional Volatility in GARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 15-25, January.
  8. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  10. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-61, October.
  11. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
  12. Christiano, Lawrence J. & Ljungqvist, Lars, 1988. "Money does Granger-cause output in the bivariate money-output relation," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 217-235, September.
  13. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
  14. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-42, May.
  15. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  16. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  17. Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Wiley Blackwell, vol. 61(4), pages 631-53, October.
  18. Cheung, Yin-Wong & Lai, Kon S., 1997. "Bandwidth Selection, Prewhitening, and the Power of the Phillips-Perron Test," Econometric Theory, Cambridge University Press, vol. 13(05), pages 679-691, October.
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Cited by:
  1. Fountas, Stilianos & Karanasos, Menelaos, 2007. "Inflation, output growth, and nominal and real uncertainty: Empirical evidence for the G7," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 229-250, March.
  2. Karanasos, M. & Kartsaklas, A., 2009. "Dual long-memory, structural breaks and the link between turnover and the range-based volatility," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 838-851, December.
  3. Gurgul, Henryk & Lach, Łukasz, 2011. "The Nexus between Improvements in Economic Freedom and Growth: Evidence from CEE Countries in Transition," MPRA Paper 52260, University Library of Munich, Germany.
  4. J. Kim & A. Kartsaklas & M. Karanasos, 2005. "The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997," Asia-Pacific Financial Markets, Springer, vol. 12(3), pages 245-271, September.
  5. S. Bhaumik & M. Karanasos & A. Kartsaklas, 2008. "Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market," William Davidson Institute Working Papers Series wp935, William Davidson Institute at the University of Michigan.
  6. Jorge Hermann & Rómulo Chumacero, 2005. "No Estaba Muerta, ...: La Teoría Cuantitativa y la Relación entre Dinero e Inflación," Working Papers Central Bank of Chile 324, Central Bank of Chile.

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