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Citations for "Vector Autoregressions and Causality"

by Toda, Hiro Y & Phillips, Peter C B

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. P. Saikkonen & H. L"Utkepohl, . "Asymptotic Inference on Nonlinear Functions of the Coefficients of Infinite Order Cointegated VAR Processes," Sonderforschungsbereich 373 1995-66, Humboldt Universitaet Berlin.
  2. Seung-Hoon Yoo, 2004. "Public R&D expenditure and private R&D expenditure: a causality analysis," Applied Economics Letters, Taylor and Francis Journals, vol. 11(11), pages 711-714, September. [Downloadable!] (restricted)
  3. Carmine Trecroci & Juan Vega, 2002. "The information content of M3 for future inflation in the Euro area," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 138(1), pages 22-53, March. [Downloadable!] (restricted)
  4. Peter C.B. Phillips, 1993. "Fully Modified Least Squares and Vector Autoregression," Cowles Foundation Discussion Papers 1047, Cowles Foundation, Yale University. [Downloadable!]
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  5. Chavas, Jean-Paul & Mehta, Aashish, 2002. "Price Dynamics in a Vertical Sector: The Case of Butter," Staff Paper Series 452, University of Wisconsin, Agricultural and Applied Economics. [Downloadable!]
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  6. Francis X. Diebold & Roberto S. Mariano, 1991. "Comparing predictive accuracy I: an asymptotic test," Discussion Paper / Institute for Empirical Macroeconomics 52, Federal Reserve Bank of Minneapolis. [Downloadable!]
  7. Peter C.B. Phillips, 1991. "The Long-Run Australian Consumption Function Reexamined: An Empirical Exercise in Bayesian Influence," Cowles Foundation Discussion Papers 1000, Cowles Foundation, Yale University. [Downloadable!]
  8. Liu Hongyu & Yun W. Park & Zheng Siqi, 2002. "The Interaction between Housing Investment and Economic Growth in China," International Real Estate Review, Asian Real Estate Society, vol. 5(1), pages 40-60. [Downloadable!]
  9. Khalafalla, Khalid Yousif & Webb, Alan J., 2000. "Exports And Economic Growth Under Structural Change: A Co-Integration Analysis Of Evidence From Malaysia," Working Papers 14595, International Agricultural Trade Research Consortium. [Downloadable!]
  10. Gianluca Cubadda & Domenico Mignacca, 1994. "Is Money Neutral? Some Evidence for Italy," International Finance 9410001, EconWPA, revised 09 Nov 1994. [Downloadable!]
  11. Yiannis Kamarianakis & Vagelis Kaslis, 2005. "Geographical competition-complementarity relationships between Greek regional economies," ERSA conference papers ersa05p552, European Regional Science Association. [Downloadable!]
  12. Guglielmo Maria Caporale, & Peter G. A Howells, & Alaa M. Soliman,, 2003. "Endogenous growth and Stock Market Development," Discussion Papers 0302, University of the West of England, Department of Economics. [Downloadable!]
  13. Hsiao Chiying & Chen Pu, 2004. "Testing Weak Exogeneity in Cointegrated System," Econometric Society 2004 Far Eastern Meetings 537, Econometric Society. [Downloadable!]
  14. Judith A. Clarke & Mukesh Ralhan, 2005. "Direct and Indirect Causality Between Exports and Economic Output for Bangladesh and Sri Lanka: Horizon Matters," Econometrics Working Papers 0512, Department of Economics, University of Victoria. [Downloadable!]
  15. 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!]
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  16. Bruneau, C. & Jondeau, E., 1998. "Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates," Documents de Travail 53, Banque de France. [Downloadable!]
  17. Zahid ASGHAR, 2008. "Simulation Evidence on Granger Causality in Presence of a Confounding Variable," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(2). [Downloadable!]
  18. 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. [Downloadable!]
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  19. Stuart Fraser & David Paton, 2003. "Does advertising increase labour supply? Time series evidence from the UK," Applied Economics, Taylor and Francis Journals, vol. 35(11), pages 1357-1368, July. [Downloadable!] (restricted)
  20. H. Lütkepohl, . "Forecasting Cointegrated VARMA Processes," Sonderforschungsbereich 373 1999-68, Humboldt Universitaet Berlin.
  21. Ana I. Sanjuan & Jose M. Gil, 1998. "Price transmission analysis: A flexible methodological approach applied to European hog markets," ERSA conference papers ersa98p180, European Regional Science Association. [Downloadable!]
  22. Catherine Bruneau & Eric Jondeau, 1999. "Causalité de long terme et amélioration de la prévision : application aux courbes de taux d'intérêt," Annales d'Economie et de Statistique, ADRES, issue 54, pages 02, Avril-Jui. [Downloadable!]
  23. Hasan Bakhshi & Anthony Yates, . "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England. [Downloadable!]
  24. Philippe Andrade & Catherine Bruneau & Stephane Gregoir, 2000. "Testing for the Cointegration Rank when Some Cointegrating Directions are Shifting," Econometric Society World Congress 2000 Contributed Papers 1605, Econometric Society. [Downloadable!]
  25. Jr-Tsung Huang, 2007. "Labor force participation and juvenile delinquency in Taiwan: a time series analysis," Journal of Family and Economic Issues, Springer, vol. 28(1), pages 137-150, March. [Downloadable!] (restricted)
  26. Catherine Bruneau & Jean-Paul Nicolai, 1995. "Causalité persistante entre séries non-stationnaire: application à l'étude comparée des politiques monétaires des pays du G5," Annales d'Economie et de Statistique, ADRES, issue 40, pages 10, Octobre-D. [Downloadable!]
  27. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO. [Downloadable!]
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  28. Ross McKitrick, 2007. "Why did US air pollution decline after 1970?," Empirical Economics, Springer, vol. 33(3), pages 491-513, November. [Downloadable!] (restricted)
  29. Yousif. K. Al-Yousif, 1999. "On The Role Of Exports In The Economic Growth Of Malaysia: A Multivariate Analysis," International Economic Journal, Korean International Economic Association, vol. 13(3), pages 67-75, October. [Downloadable!] (restricted)
  30. Peter C.B. Phillips, 1991. "Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum," Cowles Foundation Discussion Papers 986, Cowles Foundation, Yale University. [Downloadable!]
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  31. Qazi Masood Ahmed & Mohammad Sabihuddin Butt & Shaista Alam, 2000. "Economic Growth, Export, and External Debt Causality: The Case of Asian Countries," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 39(4), pages 591-608. [Downloadable!]
  32. Catherine Bruneau & Jean-Paul Nicolai, 1994. "Amélioration de la prévision et causalité entre deux séries d'un systéme multivarié autorégressif stationnaire," Annales d'Economie et de Statistique, ADRES, issue 36, pages 01, Octobre-D. [Downloadable!]
  33. Cheng Hsiao & Siyan Wang, 2006. "Lag-Augmented Two- and Three-Stage Least Squares Estimators for Integrated Structural Dynamic Models," IEPR Working Papers 06.55, Institute of Economic Policy Research (IEPR). [Downloadable!]
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  34. Yin-Wong Cheung & Frank Westermann, 1999. "An analysis of German effects on the Austrian business cycle," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 135(3), pages 522-531, September. [Downloadable!] (restricted)
  35. Christophe Hurlin & Baptiste Venet, 2008. "Financial Development and Growth: A Re-Examination using a Panel Granger Causality Test," Working Papers halshs-00319995_v1, HAL. [Downloadable!]
  36. Judith A. Giles, Cara L. Williams, 2000. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," Journal of International Trade & Economic Development, Taylor and Francis Journals, vol. 9(4), pages 445-470, December. [Downloadable!] (restricted)
  37. Aleid Elizabeth Brouwer & Arjen Van Witteloostuijn & Christophe Boone, 2006. "The Dynamics of Economic Performance and Organizational Diversity. An Empirical Study in Zwolle, the Netherlands, 1850-1914," ERSA conference papers ersa06p112, European Regional Science Association. [Downloadable!]
  38. Peter C.B. Phillips, 1991. "Unidentified Components in Reduced Rank Regression Estimation of ECM's," Cowles Foundation Discussion Papers 1003, Cowles Foundation, Yale University. [Downloadable!]
  39. Juan J. DOLADO & Helmut LUETKEPOHL, . "Making Wald Tests Work for Cointegrated Var Systems," Sonderforschungsbereich 373 1994-44, Humboldt Universitaet Berlin.
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  40. John C. Chao & Peter C.B. Phillips, 1997. "Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure," Cowles Foundation Discussion Papers 1155, Cowles Foundation, Yale University. [Downloadable!]
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  41. Eleanor Doyle, 2001. "Export-Output Causality And The Role Of Exports In Irish Growth: 1950--1997," International Economic Journal, Korean International Economic Association, vol. 15(3), pages 31-54, October. [Downloadable!] (restricted)
  42. Jordan Shan & Fiona Sun, 1998. "On the export-led growth hypothesis for the little dragons: An empirical reinvestigation," Atlantic Economic Journal, International Atlantic Economic Society, vol. 26(4), pages 353-371, December. [Downloadable!] (restricted)
  43. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  44. Aamer Abu-Qarn & Suleiman Abu-Bader, 2001. "The Validity of the ELG Hypothesis in the MENA Region: Cointegration and Error Correction Model Analysis," Working Papers 134, Ben-Gurion University of the Negev, Department of Economics. [Downloadable!]
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  45. Konya, L., 2004. "Export-Led Growth, Growth-Driven Export, Both or None? Granger Causality Analysis on OECD Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(1). [Downloadable!]
  46. H. Peter Boswijk & Jurgen Doornik, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers 2003-W10, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  47. Maurice Kugler, 2006. "Spillovers From Foreign Direct Investment:Within Or Between Industries?," BORRADORES DE ECONOMIA 003523, BANCO DE LA REPÚBLICA. [Downloadable!]
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  48. Efthymios Tsionas, 2003. "Inflation and Productivity in Europe: An Empirical Investigation," Empirica, Springer, vol. 30(1), pages 39-62, March. [Downloadable!] (restricted)
  49. Peter C.B. Phillips, 1992. "Hyper-Consistent Estimation of a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 1040, Cowles Foundation, Yale University. [Downloadable!]
  50. Nasim Shah Shirazi & Turkhan Ali Abdul Manap, 2004. "Exports and Economic Growth Nexus: The Case of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(4), pages 563-581. [Downloadable!]
  51. 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. [Downloadable!]
  52. 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. [Downloadable!]
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  53. Jérôme Henry & Jens Weidmann, 1995. "Asymmetry in the EMS revisited: Evidence from the Causality Analysis of Daily Eurorates," Annales d'Economie et de Statistique, ADRES, issue 40, pages 08, Octobre-D. [Downloadable!]
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  54. Se Kyu Choi-Ha & Luis Felipe Lagos, 2003. "El Dinero como Indicador Líder," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(120), pages 259-283. [Downloadable!]
  55. Michael D. Bordo & Lars Jonung & Pierre Siklos, 1993. "The Common Development of Institutional Change as Measured by Income Velocity: A Century of Evidence from Industrialized Countries," NBER Working Papers 4379, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  56. NÉJIB HACHICHA, 2003. "Exports, Export Composition And Growth: A Simultaneous Error-Correction Model For Tunisia," International Economic Journal, Korean International Economic Association, vol. 17(1), pages 101-120, April. [Downloadable!] (restricted)
  57. 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, Yale University. [Downloadable!]
  58. Awokuse, Titus & Yang, Jian, 2002. "The Informational Role Of Commodity Prices In Formulating Monetary Policy: A Reexamination," Staff Papers 15834, University of Delaware, Department of Food and Resource Economics. [Downloadable!]
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  59. Elena Argentese & Helmut Luetkepohl & Massimo Motta, 2006. "Acquisition of information and share prices: An empirical investigation of cognitive dissonance," Economics Working Papers ECO2006/32, European University Institute. [Downloadable!]
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  60. Jan J.J. Groen & Frank R. Kleibergen, 1999. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," Tinbergen Institute Discussion Papers 99-055/4, Tinbergen Institute. [Downloadable!]
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  61. Judith A. Giles, Cara L. Williams, 2000. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 1," Journal of International Trade & Economic Development, Taylor and Francis Journals, vol. 9(3), pages 261-337, September. [Downloadable!] (restricted)
  62. ABOUDOU Maman Tachiwou, 2009. "Causality tests between stock market development and economic growth in West African Monetary Union," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 12(2), pages 14-27, December. [Downloadable!]
  63. Peter L. Rousseau, 1999. "Share Liquidity and Industrial Growth in an Emerging Market: The Case of New England, 1854-1897," NBER Historical Working Papers 0117, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  64. O. Holtemöller, . "Money and Prices: An I(2) Analysis for the Euro Area," Sonderforschungsbereich 373 2002-12, Humboldt Universitaet Berlin.
  65. J. Breitung, . "A Simultaneous Equations Approach to Cointegrated Systems," Sonderforschungsbereich 373 1995-46, Humboldt Universitaet Berlin.
  66. Abul M. M. Masih & Rumi Masih, 1997. "Bivariate and Multivariate Tests of Money-Price Causality: Robust Evidence from a Small Developing Country," Journal of International Development, John Wiley & Sons, Ltd., vol. 9(6), pages 803-825.
  67. Ekaterini Panopoulou & Nikitas Pittis & Sarantis Kalyvitis, 2006. "Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests," The Institute for International Integration Studies Discussion Paper Series iiisdp134, IIIS. [Downloadable!]
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  68. Hiro Y. Toda & Peter C.B. Phillips, 1991. "The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study," Cowles Foundation Discussion Papers 978, Cowles Foundation, Yale University. [Downloadable!]
  69. Taku Yamamoto & Eiji Kurozumi, 2003. "Tests for Long-Run Granger Non-Causality in Cointegrated Systems," Hi-Stat Discussion Paper Series d03-01, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  70. Rumi Masih & A. Mansur Masih, 2004. "Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras," European Journal of Finance, Taylor and Francis Journals, vol. 10(1), pages 81-104, February. [Downloadable!] (restricted)
  71. 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!]
  72. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  73. 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. [Downloadable!]
  74. Andersson, Björn, 1999. "On the Causality Between Saving and Growth: Long- and Short-Run Dynamics and Country Heterogeneity," Working Paper Series 1999:18, Uppsala University, Department of Economics. [Downloadable!]
  75. Judith A. Giles & Cara L. Williams, 2000. "Export-Led Growth: A Survey of the Empirical Literature and Some Noncausality Results, Part 2," Econometrics Working Papers 0002, Department of Economics, University of Victoria. [Downloadable!]
  76. Helmut LUETKEPOHL & Petti SAIKKONON, . "Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference," Sonderforschungsbereich 373 1994-5, Humboldt Universitaet Berlin.
  77. Aitor Ciarreta Antuñano & Ainhoa Zarraga Alonso, 2007. "Electricity consumption and economic growth: evidence from Spain," BILTOKI 200701, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
  78. H. L"Utkepohl & J. Breitung, . "Impulse Response Analysis of Vector Autoregressive Processes," Sonderforschungsbereich 373 1996-86, Humboldt Universitaet Berlin.
  79. Guglielmo Maria Caporale & Nikolaos Philippas & Nikitas Pittis, 2004. "Feedbacks between mutual fund flows and security returns: evidence from the Greek capital market," Applied Financial Economics, Taylor and Francis Journals, vol. 14(14), pages 981-989, October. [Downloadable!] (restricted)
  80. A. Warne, . "Causality in Nonlinear Models," Sonderforschungsbereich 373 1996-26, Humboldt Universitaet Berlin.
  81. Yong Glasure & Aie-Rie Lee, 1999. "The export-led growth hypothesis: The role of the exchange rate, money, and government expenditure from Korea," Atlantic Economic Journal, International Atlantic Economic Society, vol. 27(3), pages 260-272, September. [Downloadable!] (restricted)
  82. Marco R. Barassi & Guglielmo Maria Caporale & Stephen G. Hall, 2006. "A Comparison Between Tests For Changes In The Adjustment Coefficients In Cointegrated Systems," Economics and Finance Discussion Papers 06-04, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  83. Mohammad Afzal, 2007. "The Impact of Globalisation on Economic Growth of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 46(4), pages 723-734. [Downloadable!]
  84. Ghazi Shukur, Panagiotis Mantalos, 2000. "A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems," Journal of Applied Statistics, Taylor and Francis Journals, vol. 27(8), pages 1021-1031, November. [Downloadable!] (restricted)
  85. Maite Alguacil & Ana Cuadros & Vicente Orts, 2004. "Does saving really matter for growth? Mexico (1970-2000)," Journal of International Development, John Wiley & Sons, Ltd., vol. 16(2), pages 281-290. [Downloadable!]
  86. O. Holtemöller, . "Money and Banks: Some Theory and Empirical Evidence for Germany," Sonderforschungsbereich 373 2002-17, Humboldt Universitaet Berlin.
  87. Azman-Saini, W.N.W., 2006. "Hedge funds, exchange rates and causality: Evidence from Thailand and Malaysia," MPRA Paper 716, University Library of Munich, Germany. [Downloadable!]
  88. Silika Prohl & Friedrich G. Schneider, 2006. "Sustainability of Public Debt and Budget Deficit: Panel cointegration analysis for the European Union Member countries," Economics working papers 2006-10, Department of Economics, Johannes Kepler University Linz, Austria. [Downloadable!]
  89. Jean-Yves Pitarakis & George Tridimas, 2003. "Joint Dynamics of Legal and Economic Integration in the European Union," European Journal of Law and Economics, Springer, vol. 16(3), pages 357-368, November. [Downloadable!] (restricted)
  90. Paruolo Paolo, 2004. "The likelihood ratio test for the rank of a cointegration submatrix," Economics and Quantitative Methods qf04024, Department of Economics, University of Insubria. [Downloadable!]
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  91. Clive Bell & Peter L. Rousseau, 1999. "Post-Independence India: A Case of Finance-Led Industrialization?," Working Papers 0019, Department of Economics, Vanderbilt University, revised Jun 2000. [Downloadable!]
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  92. Hiroaki Chigira & Taku Yamamoto, 2003. "The Granger Non-Causality Test in Cointegrated Vector Autoregressions," Hi-Stat Discussion Paper Series d03-07, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  93. Carmine Trecroci & Juan Luis Vega-Croissier, 2000. "The information content of M3 for future inflation," Working Paper Series 33, European Central Bank. [Downloadable!]
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