Multivariate-based causality tests of twin deficits in the US
AbstractThis paper provides an alternative methodology for testing the causality direction between twin deficits in the US. Rao's multivariate F-test combined with the bootstrap simulation technique has appealing properties, especially when the data-generating process is characterized by unit roots. In addition the results show that the effect of structural breaks are of paramount importance when the causality tests are conducted. In much contemporary applied econometrics there is all-too-little attention given to the possibility of changes in the economic process.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.
Volume (Year): 29 (2002)
Issue (Month): 6 ()
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