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Impulse Response Functions Based on a Causal Approach to Residual Orthogonalizaton in Vector Autoregressions Author info | Abstract | Publisher info | Download info | Related research | Statistics Norman R. Swanson
C. W.J. Granger
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Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number
92-50.
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Date of creation: Nov 1992Date of revision:
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Keywords: References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
Runkle, David E, 1987.
"Vector Autoregressions and Reality ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 5(4), pages 437-42, October.
Runkle, David E, 1987.
"Vector Autoregressions and Reality: Reply ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 5(4), pages 454, October.
Sims, Christopher A, 1980.
"Macroeconomics and Reality ,"
Econometrica ,
Econometric Society, vol. 48(1), pages 1-48, January.
[Downloadable!] (restricted)
Weiss, Andrew A., 1984.
"Systematic sampling and temporal aggregation in time series models ,"
Journal of Econometrics ,
Elsevier, vol. 26(3), pages 271-281, December.
[Downloadable!] (restricted)
Wei, William W. S., 1978.
"The effect of temporal aggregation on parameter estimation in distributed lag model ,"
Journal of Econometrics ,
Elsevier, vol. 8(2), pages 237-246, October.
[Downloadable!] (restricted)
David E. Runkle, 1987.
"Vector autoregressions and reality ,"
Staff Report
107, Federal Reserve Bank of Minneapolis.
[Downloadable!]
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.
[Downloadable!] (restricted)
Gilli, Manfred, 1992.
"Causal Ordering and Beyond ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(4), pages 957-71, November.
[Downloadable!] (restricted)
Christopher A. Sims, 1980.
"Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered ,"
NBER Working Papers
0430, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Richard M. Todd, 1990.
"Vector autoregression evidence on monetarism: another look at the robustness debate ,"
Quarterly Review ,
Federal Reserve Bank of Minneapolis, issue Spr, pages 19-37.
[Downloadable!]
Zellner, Arnold, 1979.
"An Error-Components Procedure (ECP) for Introducing Prior Information about Covariance Matrices and Analysis of Multivariate Regression Models ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(3), pages 679-92, October.
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Granger, C. W. J., 1988.
"Some recent development in a concept of causality ,"
Journal of Econometrics ,
Elsevier, vol. 39(1-2), pages 199-211.
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Renault, E. & Szafarz, A., 1991.
"True Versus Spurious Instantaneous Causality ,"
Papers
9103, Universite Libre de Bruxelles - C.E.M.E..
Other versions: McElroy, F W, 1978.
"A Simple Method of Causal Ordering ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(1), pages 1-23, February.
[Downloadable!] (restricted)
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Duke, Joshua M. & Awokuse, Titus O., 2004.
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2004 Annual meeting, August 1-4, Denver, CO
20324, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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Other versions: Òscar Jordà, 2005.
"Estimation and Inference of Impulse Responses by Local Projections ,"
American Economic Review ,
American Economic Association, vol. 95(1), pages 161-182, March.
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Alessio Moneta, 2005.
"Causality in macroeconometrics: some considerations about reductionism and realism ,"
Journal of Economic Methodology ,
Taylor and Francis Journals, vol. 12(3), pages 433-453, September.
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Alessio Moneta, 2003.
"Graphical Models for Structural Vector Autoregressions ,"
LEM Papers Series
2003/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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Alessio Moneta & Peter Spirtes, 2005.
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LEM Papers Series
2005/14, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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Lee, Andrew C. & Kim, Man-Keun, 2004.
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2004 Annual meeting, August 1-4, Denver, CO
20124, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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Titus O. Awokuse, 2005.
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Applied Economics Letters ,
Taylor and Francis Journals, vol. 12(14), pages 849-858, November.
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Other versions: Oscar Jorda, 2004.
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Macroeconomics
0403016, EconWPA.
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Jorda, Oscar, 2004.
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Babula, Ronald A. & Bessler, David A. & Rogowsky, Robert A., 2005.
"Dynamic Economic Relationships Among U.S. Soy Product Markets: Using a Cointegrated Vector Autoregression Approach with Directed Acyclic Graphs ,"
Working Paper ID Series
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Bryant, Henry L. & Bessler, David A. & Haigh, Michael S., 2003.
"Causality In Futures Markets ,"
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Vitale, Jeffrey & Bessler, David, 2006.
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Bessler, David & Leatham, David J. & Yang, Juan, 2005.
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19558, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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Yu, Tun-Hsiang Edward & Bessler, David A. & Fuller, Stephen W., 2004.
"Analysis Of Dynamic Interrelationships Between Transportation Rates And Grain Prices ,"
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20339, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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Bryant, Henry L. & Bessler, David A. & Haigh, Michael S., 2006.
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21166, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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