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Simplified Conditions for Non-Causality Between Vectors in Multivariate Arma Models

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  • Boudjellaba, H.
  • Dufour, J.M.
  • Roy, R.

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  • Boudjellaba, H. & Dufour, J.M. & Roy, R., 1992. "Simplified Conditions for Non-Causality Between Vectors in Multivariate Arma Models," Cahiers de recherche 9236, Universite de Montreal, Departement de sciences economiques.
    • Handle: RePEc:mtl:montde:9236
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    Cited by:

    1. Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2023. "Testing Granger Non-Causality in Expectiles," University of East Anglia School of Economics Working Paper Series 2023-02, School of Economics, University of East Anglia, Norwich, UK..
    2. Tomasz Woźniak, 2018. "Granger-causal analysis of GARCH models: A Bayesian approach," Econometric Reviews, Taylor & Francis Journals, vol. 37(4), pages 325-346, April.
    3. Rituparna Sen & Anandamayee Majumdar & Shubhangi Sikaria, 2022. "Bayesian Testing of Granger Causality in Functional Time Series," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(1), pages 191-210, September.
    4. Woźniak, Tomasz, 2015. "Testing causality between two vectors in multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 876-894.
    5. Rituparna Sen & Anandamayee Majumdar & Shubhangi Sikaria, 2021. "Bayesian Testing Of Granger Causality In Functional Time Series," Papers 2112.15315, arXiv.org.
    6. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 10-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    7. Warne, Anders & Droumaguet, Matthieu & Woźniak, Tomasz, 2015. "Granger causality and regime inference in Bayesian Markov-Switching VARs," Working Paper Series 1794, European Central Bank.
    8. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria.
    9. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
    10. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Short and long run causality measures: Theory and inference," Journal of Econometrics, Elsevier, vol. 154(1), pages 42-58, January.
    11. Massimiliano Caporin, 2007. "Variance (Non) Causality in Multivariate GARCH," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 1-24.
    12. Jonathan B. Hill, 2007. "Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 747-765.
    13. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
    14. Judith A. Clarke & Sadaf Mirza, 2003. "Some Finite Sample Results On Testing For Granger Noncausality," Econometrics Working Papers 0305, Department of Economics, University of Victoria.
    15. Jing-Tung WU, 2016. "The Markov-switching Granger Causality of Asia-Pacific Exchange Rates," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 94-115, September.
    16. Matthieu Droumaguet & Anders Warne & Tomasz Wozniak, 2015. "Granger Causality and Regime Inference in Bayesian Markov-Switching VARs," Department of Economics - Working Papers Series 1191, The University of Melbourne.
    17. Marc Hallin & Abdessamad Saidi, 2005. "Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 83-105, January.
    18. Dufour, Jean-Marie & Tessier, David, 1997. "La causalité entre la monnaie et le revenu : une analyse fondée sur un modèle VARMA-échelon," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 351-366, mars-juin.
    19. Peter C.B. Phillips, 1992. "Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy," Cowles Foundation Discussion Papers 1025, Cowles Foundation for Research in Economics, Yale University.

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    Keywords

    ECONOMETRICS ; ECONOMIC MODELS;

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