Test of persistent Causality with an Application of the Expectations Theory of the Term Structure
AbstractIn this paper, address the problem of testing persistent causality between integrated, possibly cointegrated, time series.
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Bibliographic InfoPaper provided by Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. in its series Papers with number 9614.
Length: 30 pages
Date of creation: 1996
Date of revision:
Contact details of provider:
Postal: THEMA, Universite de Paris X-Nanterre, U.F.R. de science economiques, gestion, mathematiques et informatique, 200, avenue de la Republique 92001 Nanterre CEDEX.
INTEREST RATE; COINTEGRATION; EXPECTATIONS;
Other versions of this item:
- C. Bruneau & E. Jondeau, 1996. "Test of persistent causality with an application of the expectations theory of the term structure," THEMA Working Papers 96-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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