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Testing Causality Between Two Vectors in Multivariate Arma Models

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Author Info
Boudjellaba, B.
Dufour, J.M.
Roy, R.

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Abstract

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Publisher Info
Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number 9119.

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Length: 35 pages
Date of creation: 1991
Date of revision:
Handle: RePEc:mtl:montde:9119

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Related research
Keywords: TESTS ; ECONOMETRICS ; ECONOMIC MODELS;

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Cited by:
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  1. McCrorie, J.R. & Chambers, M.J., 2004. "Granger causality and the sampling of economic processes," Discussion Paper 39, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  2. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short run and long run causality in time series: Inference," Cahiers de recherche 2003-16, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
  3. Helmut LUETKEPOHL & Maike MUELLER, . "Testing for Multi-Step Causality in Time Series," Sonderforschungsbereich 373 1994-3, Humboldt Universitaet Berlin.
  4. Jean-Marie Dufour & Tarek Jouini, 2005. "Asymptotic distribution of a simple linear estimator for VARMA models in echelon form," CIRANO Working Papers 2005s-06, CIRANO. [Downloadable!]
    Other versions:
  5. Jean-Marie Dufour & Abderrahim Taamouti, 2008. "Short and long run causality measures: theory and inference," Economics Working Papers we083720, Universidad Carlos III, Departamento de Economía. [Downloadable!]
Statistics
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