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Non-parametric determination of real-time lag structure between two time series: The "optimal thermal causal path" method with applications to economic data

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  • Zhou, Wei-Xing
  • Sornette, Didier
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Macroeconomics.

    Volume (Year): 28 (2006)
    Issue (Month): 1 (March)
    Pages: 195-224

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    Handle: RePEc:eee:jmacro:v:28:y:2006:i:1:p:195-224

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    Web page: http://www.elsevier.com/locate/inca/622617

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    1. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
    2. Chamberlain, Gary, 1982. "The General Equivalence of Granger and Sims Causality," Econometrica, Econometric Society, vol. 50(3), pages 569-81, May.
    3. Apergis, Nicholas, 2004. "Inflation, output growth, volatility and causality: evidence from panel data and the G7 countries," Economics Letters, Elsevier, vol. 83(2), pages 185-191, May.
    4. Cogley, Timothy & Sargent, Thomas J., 2005. "The conquest of U.S. inflation: learning and robustness to model uncertainty," Working Paper Series 0478, European Central Bank.
    5. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
    6. Robert Mundell, 1963. "Inflation and Real Interest," Journal of Political Economy, University of Chicago Press, vol. 71, pages 280.
    7. Hyeon-Seung Huh & Hyun-Hoon Lee, 2002. "Asymmetric output cost of lowering inflation: empirical evidence for Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 35(2), pages 218-238, May.
    8. Gary Shelley & Frederick Wallace, 2004. "Inflation, money, and real GDP in Mexico: a causality analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 223-225.
    9. Robert J. Barro, 1995. "Inflation and Economic Growth," NBER Working Papers 5326, National Bureau of Economic Research, Inc.
    10. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-67, July.
    11. Strozzi, Fernanda & Zaldı́var, José-Manuel & Zbilut, Joseph P, 2002. "Application of nonlinear time series analysis techniques to high-frequency currency exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(3), pages 520-538.
    12. Zhou, Wei-Xing & Sornette, Didier, 2004. "Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 586-608.
    13. Hyeon-seung Huh, 2002. "Estimating Asymmetric Output Cost of Lowering Inflation for Australia," Southern Economic Journal, Southern Economic Association, vol. 68(3), pages 600-616, January.
    14. Fischer, Stanley, 1974. "Money and the Production Function," Economic Inquiry, Western Economic Association International, vol. 12(4), pages 517-33, December.
    15. Geweke, John, 1984. "Inference and causality in economic time series models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 19, pages 1101-1144 Elsevier.
    16. Fountas, Stilianos & Karanasos,Menelaos, 2001. "Inflation and Output Growth Uncertainty and their Relationship with Inflation and Output Growth," Working Papers 0053, National University of Ireland Galway, Department of Economics, revised 2001.
    17. Neil R. Ericsson & John S. Irons & Ralph W. Tryon, 2000. "Output and inflation in the long run," International Finance Discussion Papers 687, Board of Governors of the Federal Reserve System (U.S.).
    18. Kevin J. Lansing, 2000. "Exploring the causes of the Great Inflation," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jul7.
    19. Fama, Eugene F, 1982. "Inflation, Output, and Money," The Journal of Business, University of Chicago Press, vol. 55(2), pages 201-31, April.
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