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Citations for "Testing for Causation Using Infinite Order Vector Autoregressive Processes"

by Lütkepohl, Helmut & POSKITT, D.S.

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  1. Javier Hidalgo, 2003. "A Bootstrap Causality Test for Covariance Stationary Processes," STICERD - Econometrics Paper Series /2003/462, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  2. Jonathan B. Hill, 2004. "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Macroeconomics 0407013, EconWPA, revised 17 May 2005.
  3. Javier Hidalgo, 2003. "A bootstrap causality test for covariance stationary processes," LSE Research Online Documents on Economics 6848, London School of Economics and Political Science, LSE Library.
  4. Jean-michel Sahut & Medhi Mili & Frédéric Teulon, 2012. "What is the linkage between real growth in the Euro area and global financial market conditions?," Economics Bulletin, AccessEcon, vol. 32(3), pages 2464-2480.
  5. Trenkler, Carsten & Weber, Enzo, 2012. "Identifying the Shocks behind Business Cycle Asynchrony in Euroland," University of Regensburg Working Papers in Business, Economics and Management Information Systems 466, University of Regensburg, Department of Economics.
  6. Bai, Zhidong & Wong, Wing-Keung & Zhang, Bingzhi, 2010. "Multivariate linear and nonlinear causality tests," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 5-17.
  7. Josheski, Dushko & Lazarov, Darko, 2011. "Labor market and natural rate of unemployment in US and Canadian time series analysis," MPRA Paper 34685, University Library of Munich, Germany.
  8. Benkwitz, Alexander & Lütkepohl, Helmut & Neumann, Michael H., 1997. "Problems related to bootstrapping impulse responses of autoregressive processes," SFB 373 Discussion Papers 1997,85, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  10. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  11. Ekaterini Panopoulou & N. Pittis & S. Kalyvitis, 2006. "Looking far in the past:Revisiting the growth-returns nexus with non-parametric tests," Economics, Finance and Accounting Department Working Paper Series n1660306, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  12. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
  13. Zernov, Serguei & Zinde-Walsh, Victoria & Galbraith, John W., 2009. "Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 497-508, March.
  14. Josheski, Dushko & Lazarov, Darko & Fotov, Risto & Koteski, Cane, 2011. "IS-LM model for US economy: testing in JMULTI," MPRA Paper 34024, University Library of Munich, Germany.
  15. Andrew Rennison, 2003. "Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach," Working Papers 03-8, Bank of Canada.
  16. 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.
  17. Lütkepohl, Helmut & Saikkonen, Pentti, 1997. "Order selection in testing for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 1997,93, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  18. Siliti jr Hammadi & Ben mbarek jr Hassene, 2013. "Shocks Transmission in the Mediterranean Zone," Economics Bulletin, AccessEcon, vol. 33(2), pages 1010-1028.
  19. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
  20. Javier Hidalgo, 2000. "Nonparametric Test for Causality with Long-Range Dependence - (Now published in Econometrica, 68, (2000) pp.1465-1490," STICERD - Econometrics Paper Series /2000/387, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  21. Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  22. Lütkepohl, Helmut, 1999. "Vector autoregressive analysis," SFB 373 Discussion Papers 1999,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  23. Fathali Firoozi & Donald Lien, 2011. "A Procedure for Testing Granger Causality of Infinite Order," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 10(2), pages 165-170, August.
  24. Jonathan B. Hill, 2004. "Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited," Econometrics 0402002, EconWPA, revised 01 Mar 2004.
  25. Hidalgo, J., 2005. "A bootstrap causality test for covariance stationary processes," Journal of Econometrics, Elsevier, vol. 126(1), pages 115-143, May.
  26. Mili, Mehdi & Sahut, Jean-Michel & Teulon, Frédéric, 2012. "Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence," Economic Modelling, Elsevier, vol. 29(3), pages 734-741.
  27. Lutkepohl, Helmut & Saikkonen, Pentti, 1997. "Impulse response analysis in infinite order cointegrated vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 127-157, November.
  28. Serguei Zernov & Victoria Zindle-Walsh & John Galbraith, 2006. "Asymptotics For Estimation Of Truncated Infinite-Dimensional Quantile Regressions," Departmental Working Papers 2006-16, McGill University, Department of Economics.