An Out of Sample Test for Granger Causality

Citations

Cited by:

1. Ataman Ozyildirim & Brian Schaitkin & Victor Zarnowitz, 2010. "Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 6-28.
   • Ataman Ozyildirim & Brian Schaitkin & Victor Zarnowitz, 2008. "Business Cycles in the Euro Area Defined with Coincident Economic Indicators and Predicted with Leading Economic Indicators," Economics Program Working Papers 08-04, The Conference Board, Economics Program.
2. Norman Swanson & Nii Ayi Armah, 2006. "Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output," Departmental Working Papers 200619, Rutgers University, Department of Economics.
   • Norman R. Swanson & Nii Ayi Armah, 2011. "Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output," Departmental Working Papers 201103, Rutgers University, Department of Economics.
3. Pablo Pincheira, 2008. "Combining Tests of Predictive Ability Theory and Evidence for Chilean and Canadian Exchange Rates," Working Papers Central Bank of Chile 459, Central Bank of Chile.
4. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
5. Tae-Hwy Lee & Ekaterina Seregina & Yaojue Xu, 2023. "Elicitability and Encompassing for Volatility Forecasts by Bregman Functions," Working Papers 202311, University of California at Riverside, Department of Economics.
6. Todd E. Clark, 2004. "Can out-of-sample forecast comparisons help prevent overfitting?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 115-139.
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7. Marc Joëts, 2012. "Mood-misattribution effect on energy markets: a biorhythm approach," EconomiX Working Papers 2012-24, University of Paris Nanterre, EconomiX.
8. Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2016. "Ethanol and field crops: Is there a price connection?," Food Policy, Elsevier, vol. 63(C), pages 53-61.
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   • Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2013. "Biofuels and Food Prices: Searching for the Causal Link," IEFE Working Papers 55, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy.
   • Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2013. "Biofuels and Food Prices: Searching for the Causal Link," Working Papers 2013.22, Fondazione Eni Enrico Mattei.
   • Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2013. "Biofuels and Food Prices: Searching for the Causal Link," Energy: Resources and Markets 148895, Fondazione Eni Enrico Mattei (FEEM).
   • Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2013. "Biofuels and Food Prices: Searching for the Causal Link," Working Papers 239, University of Milano-Bicocca, Department of Economics, revised Mar 2013.
9. Xiaojie Xu, 2017. "The rolling causal structure between the Chinese stock index and futures," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(4), pages 491-509, November.
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11. Andres Fernandez & Norman R. Swanson, 2009. "Real-time datasets really do make a difference: definitional change, data release, and forecasting," Working Papers 09-28, Federal Reserve Bank of Philadelphia.
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12. Corradi, Valentina & Fernandez, Andres & Swanson, Norman R., 2009. "Information in the Revision Process of Real-Time Datasets," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 455-467.
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    • Norman R. Swanson & Valentina Corradi & Andres Fernandez, 2011. "Information in the Revision Process of Real-Time Datasets," Departmental Working Papers 201107, Rutgers University, Department of Economics.
13. Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
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15. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
16. Xiaojie Xu, 2019. "Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 155-181, June.
17. Pär Österholm, 2010. "Improving Unemployment Rate Forecasts Using Survey Data," Finnish Economic Papers, Finnish Economic Association, vol. 23(1), pages 16-26, Spring.
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19. Pablo Pincheira, 2013. "A Simple Out-of-Sample Test for the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 698, Central Bank of Chile.
20. Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia, 2001. "Predictive ability with cointegrated variables," Journal of Econometrics, Elsevier, vol. 104(2), pages 315-358, September.
21. Atsushi Inoue & Lutz Kilian, 2005. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," Econometric Reviews, Taylor & Francis Journals, vol. 23(4), pages 371-402.
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22. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics.
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25. Clark, Todd E. & McCracken, Michael W., 2001. "Tests of equal forecast accuracy and encompassing for nested models," Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November.
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26. Atsushi Inoue & Lutz Kilian, 2005. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," Econometric Reviews, Taylor & Francis Journals, vol. 23(4), pages 371-402.
    • Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers 3671, C.E.P.R. Discussion Papers.
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27. Clark, Todd E. & West, Kenneth D., 2006. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186.
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28. Pablo Pincheira, 2006. "Shrinkage Based Tests of the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 376, Central Bank of Chile.
29. Granziera, Eleonora & Hubrich, Kirstin & Moon, Hyungsik Roger, 2014. "A predictability test for a small number of nested models," Journal of Econometrics, Elsevier, vol. 182(1), pages 174-185.
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30. Krishna, Kala & Ozyildirim, Ataman & Swanson, Norman R., 2003. "Trade, investment and growth: nexus, analysis and prognosis," Journal of Development Economics, Elsevier, vol. 70(2), pages 479-499, April.
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31. Joëts, Marc, 2015. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
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