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Testing for Two-Step Granger Noncausality in Trivariate VAR Models

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Judith A. Giles ()
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File URL: http://web.uvic.ca/econ/research/papers/ewp0008.pdf
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Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0008.

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Length: 36 pages
Date of creation: 04 Oct 2000
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Handle: RePEc:vic:vicewp:0008

Note: ISSN 1485-6441
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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Phone: (250)721-8540
Fax: (250)721-6214
Web page: http://web.uvic.ca/econ
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Related research
Keywords: Causality testing; VAR models; non-stationary time-series.;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

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  1. Kholdy, Shady, 1995. "Causality between Foreign Investment and Spillover Efficiency," Applied Economics, Taylor and Francis Journals, vol. 27(8), pages 745-49, August.
  2. Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 66(1), pages 1-26, January.
    Other versions:
  3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
  4. Hsiao, Cheng, 1982. "Autoregressive modeling and causal ordering of economic variables," Journal of Economic Dynamics and Control, Elsevier, vol. 4(1), pages 243-259, November. [Downloadable!] (restricted)
  5. Riezman, R.G. & Summers, P.M. & Whiteman, C.H., 1991. "The Engine of Growth or Its Handmaiden? A Time Series Assessment of Export-Led Growth," Working Papers 92-27, University of Iowa, Department of Economics.
    Other versions:
  6. Lee, Junsoo & Shin, B S & Chung, In, 1996. "Causality between Advertising and Sales: New Evidence from Cointegration," Applied Economics Letters, Taylor and Francis Journals, vol. 3(5), pages 299-301, May. [Downloadable!] (restricted)
  7. Yamada, Hiroshi & Toda, Hiro Y., 1998. "Inference in possibly integrated vector autoregressive models: some finite sample evidence," Journal of Econometrics, Elsevier, vol. 86(1), pages 55-95, June. [Downloadable!] (restricted)
  8. 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)
  9. Hiro Toda & Peter Phillips, 1994. "Vector autoregression and causality: a theoretical overview and simulation study," Econometric Reviews, Taylor and Francis Journals, vol. 13(2), pages 259-285. [Downloadable!] (restricted)
    Other versions:
  10. Thornton, John, 1997. "Exports and economic growth: Evidence from 19th Century Europe1," Economics Letters, Elsevier, vol. 55(2), pages 235-240, August. [Downloadable!] (restricted)
  11. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250. [Downloadable!] (restricted)
  12. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria. [Downloadable!]
  13. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
  14. Zapata, Hector O & Rambaldi, Alicia N, 1997. "Monte Carlo Evidence on Cointegration and Causation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(2), pages 285-98, May.
    Other versions:
  15. Kala Krishna & Ataman Ozyildirim & Norman R. Swanson, 1998. "Trade, Investment, and Growth: Nexus, Analysis, and Prognosis," NBER Working Papers 6861, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  16. Jean-Marie Dufour & Eric Renault, 1998. "Short Run and Long Run Causality in Time Series: Theory," Econometrica, Econometric Society, vol. 66(5), pages 1099-1126, September.
    Other versions:
  17. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January. [Downloadable!] (restricted)
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