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Lag length selection and Granger causality

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  • Dallas S. Batten
  • Daniel L. Thornton

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  • Dallas S. Batten & Daniel L. Thornton, 1984. "Lag length selection and Granger causality," Working Papers 1984-001, Federal Reserve Bank of St. Louis.
    • Handle: RePEc:fip:fedlwp:1984-001
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    File URL: http://research.stlouisfed.org/wp/1984/1984-001.pdf
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    References listed on IDEAS

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    1. Pagano, Marcello & Hartley, Michael J., 1981. "On fitting distributed lag models subject to polynomial restrictions," Journal of Econometrics, Elsevier, vol. 16(2), pages 171-198, June.
    2. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
    3. Dallas S. Batten & Daniel L. Thornton, 1983. "Polynomial distributed lags and the estimation of the St. Louis equation," Review, Federal Reserve Bank of St. Louis, vol. 65(Apr), pages 13-25.
    4. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    5. Roger K. Conway & P. A. V. B. Swamy & John F. Yanagida, 1983. "The impossibility of causality testing," Special Studies Papers 178, Board of Governors of the Federal Reserve System (U.S.).
    6. Geweke, John F & Meese, Richard, 1981. "Estimating Regression Models of Finite but Unknown Order," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 55-70, February.
    7. Wallace, T D, 1972. "Weaker Criteria and Tests for Linear Restrictions in Regression," Econometrica, Econometric Society, vol. 40(4), pages 689-698, July.
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    Cited by:

    1. Daniel L. Thornton, 2010. "Monetizing the debt," Economic Synopses, Federal Reserve Bank of St. Louis.
    2. Paul W. Bauer, 1990. "A reexamination of the relationship between capacity utilization and inflation," Economic Review, Federal Reserve Bank of Cleveland, vol. 26(Q III), pages 2-12.
    3. Sirucek, Martin, 2012. "The impact of money supply on stock prices and stock bubbles," MPRA Paper 40919, University Library of Munich, Germany.
    4. Driouchi, Ahmed & Boboc, Cristina & Zouag, Nada, 2009. "Interdependencies of Health, Education and Poverty: The Case of South Mediterranean Economies/Interdependencias de salud, educación y pobreza: el caso de las Economías Sur-Mediterráneas," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 27, pages 523-544, Agosto.
    5. Širůček, Martin, 2015. "Kauzalní vztah peněžní nabídky a amerického akciového trhu [Money supply and US stock market causality]," MPRA Paper 66357, University Library of Munich, Germany, revised 30 Aug 2015.

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