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Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'

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  • Penm, J. H. W.
  • Terrell, R. D.

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  • Penm, J. H. W. & Terrell, R. D., 1984. "Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'," Journal of Econometrics, Elsevier, vol. 24(3), pages 311-330, March.
    • Handle: RePEc:eee:econom:v:24:y:1984:i:3:p:311-330
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    Citations

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    Cited by:

    1. Tim Brailsford & Jack H.W. Penm & R. Deane Terrell, 2001. "The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market," Multinational Finance Journal, Multinational Finance Journal, vol. 5(1), pages 35-58, March.
    2. Thomas Lux, 2011. "Sentiment dynamics and stock returns: the case of the German stock market," Empirical Economics, Springer, vol. 41(3), pages 663-679, December.
    3. Jian Zhang, 2018. "Low-dimensional approximation searching strategy for transfer entropy from non-uniform embedding," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-24, March.
    4. ATUKEREN Erdal, 2010. "Oil Prices and the Swiss Economy," EcoMod2003 330700006, EcoMod.
    5. Erdal Atukeren, 2005. "Interactions Between Public and Private Investment: Evidence from Developing Countries," Kyklos, Wiley Blackwell, vol. 58(3), pages 307-330, July.
    6. Hsu, Nan-Jung & Hung, Hung-Lin & Chang, Ya-Mei, 2008. "Subset selection for vector autoregressive processes using Lasso," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3645-3657, March.
    7. Erdal Atukeren & Aylin Seckin, 2009. "An analysis of the price dynamics between the Turkish and the international paintings markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(21), pages 1705-1714.
    8. Erdal Atukeren, 2005. "Measuring the strength of cointegration and Granger-causality," Applied Economics, Taylor & Francis Journals, vol. 37(14), pages 1607-1614.
    9. Jammie H. Penm & R.D. Terrell, 1994. "Is Housing Activity a Leading Indicator?," The Economic Record, The Economic Society of Australia, vol. 70(210), pages 241-252, September.

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