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Measuring the strength of cointegration and Granger-causality

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  • Erdal Atukeren

Abstract

This study uses Poskitt and Tremayne's (1987) posterior odds ratio test and the associated model portfolio approach to measure the strength of the evidence from cointegration and Granger-causality tests. As an illustration of the methodology, the bivariate relationship between money and income in Canada is re-examined using historical data.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840500214173
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 37 (2005)
Issue (Month): 14 ()
Pages: 1607-1614

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Handle: RePEc:taf:applec:v:37:y:2005:i:14:p:1607-1614

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References

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  1. Marin, Dalia, 1990. "Is the Export-Led Growth Hypothesis Valid for Industrialized Countries?," CEPR Discussion Papers 362, C.E.P.R. Discussion Papers.
  2. Dorfman, Jeffrey H., 1995. "A numerical bayesian test for cointegration of AR processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 289-324.
  3. Kang, Heejoon, 1989. "The optimal lag selection and transfer function analysis in Granger causality tests," Journal of Economic Dynamics and Control, Elsevier, vol. 13(2), pages 151-169, April.
  4. Lutkepohl, Helmut, 1982. "Non-causality due to omitted variables," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 367-378, August.
  5. Chenoweth, Timothy & Dowling, Karen & Hubata, Robert & St. Louis, Robert, 2004. "Distance and prediction error variance constraints for ARMA model portfolios," International Journal of Forecasting, Elsevier, vol. 20(1), pages 41-52.
  6. 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.
  7. 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.
  8. Phillips, Peter C B & Ploberger, Werner, 1996. "An Asymptotic Theory of Bayesian Inference for Time Series," Econometrica, Econometric Society, vol. 64(2), pages 381-412, March.
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Cited by:
  1. Erdal Atukeren, 2008. "Christmas cards, Easter bunnies, and Granger-causality," Quality & Quantity: International Journal of Methodology, Springer, vol. 42(6), pages 835-844, December.
  2. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2014. "“EMU sovereign debt market crisis: Fundamentals-based or pure contagion?”," IREA Working Papers 201402, University of Barcelona, Research Institute of Applied Economics, revised May 2014.
  3. Simeonova-Ganeva, Ralitsa, 2006. "Влияние На Човешкия Капитал Върху Икономическия Растеж (България, 1949-2005 Г.)
    [The Impact of Human Capital on the Economic Growth (Bulgari
    ," MPRA Paper 37244, University Library of Munich, Germany.

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