Granger-Causality in the presence of structural breaks
Download full text from publisher
References listed on IDEAS
- Jonas Andersson, 2005.
"Testing for Granger causality in the presence of measurement errors,"
AccessEcon, vol. 3(47), pages 1-13.
- Andersson, Jonas, 2004. "Testing for Granger causality in the presence of measurement errors," Discussion Papers 2004/11, Norwegian School of Economics, Department of Business and Management Science.
- Bernd Hayo, 1999.
"Money-output Granger causality revisited: an empirical analysis of EU countries,"
Taylor & Francis Journals, vol. 31(11), pages 1489-1501.
- Hayo, Bernd, 1998. "Money-output Granger causality revisited: An empirical analysis of EU countries," ZEI Working Papers B 08-1998, University of Bonn, ZEI - Center for European Integration Studies.
- Bernd Hayo, 1998. "Money-Output Granger Causality Revisited: An Empirical Analysis of EU Countries," Macroeconomics 9809009, EconWPA.
- McCrorie, J. Roderick & Chambers, Marcus J., 2006.
"Granger causality and the sampling of economic processes,"
Journal of Econometrics,
Elsevier, vol. 132(2), pages 311-336, June.
- McCrorie, J.R. & Chambers, M.J., 2004. "Granger Causality and the Sampling of Economic Processes," Discussion Paper 2004-39, Tilburg University, Center for Economic Research.
- Phillips, P.C.B., 1986.
"Understanding spurious regressions in econometrics,"
Journal of Econometrics,
Elsevier, vol. 33(3), pages 311-340, December.
- Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
- Perron, Pierre, 1989.
"The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Econometric Society, vol. 57(6), pages 1361-1401, November.
- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
- David Giles & Lindsay Tedds & Gugsa Werkneh, 2002.
"The Canadian underground and measured economies: Granger causality results,"
Taylor & Francis Journals, vol. 34(18), pages 2347-2352.
- David E. A. Giles & Lindsay Tedds & Gugsa Werkneh, 1999. "The Canadian Underground and Measured Economies: Granger Causality Results," Econometrics Working Papers 9907, Department of Economics, University of Victoria.
- Giles, David E..A. & Tedds, Lindsay M. & Werkneh, Gugsa, 2002. "The Canadian Underground and Measured Economies: Granger Causality Results," MPRA Paper 39786, University Library of Munich, Germany.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- Ventosa-Santaularària, Daniel & Gómez, Manuel, 2006.
"Inflation and Breaks: the validity of the Dickey-Fuller test,"
58773, University Library of Munich, Germany.
- Manuel Gomez & Daniel Ventosa-Santaularia, 2007. "Inflation and breaks: the validity of the Dickey-Fuller test," Department of Economics and Finance Working Papers EM200601, Universidad de Guanajuato, Department of Economics and Finance.
- Foresti, Pasquale, 2006. "Testing for Granger causality between stock prices and economic growth," MPRA Paper 2962, University Library of Munich, Germany, revised 2007.
- repec:ebl:ecbull:v:3:y:2005:i:47:p:1-13 is not listed on IDEAS
- Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-552, September.
- Perron, Pierre & Vogelsang, Timothy J, 1992.
"Nonstationarity and Level Shifts with an Application to Purchasing Power Parity,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 10(3), pages 301-320, July.
- Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers 359, Princeton, Department of Economics - Econometric Research Program.
- Jean-Marie Dufour & Eric Renault, 1998.
"Short Run and Long Run Causality in Time Series: Theory,"
Econometric Society, vol. 66(5), pages 1099-1126, September.
- Dufour, J.M. & Renault, E., 1995. "Short-Run and Long-Rub Causality in Time Series: Theory," Cahiers de recherche 9538, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dufour, J.M. & Renault, E., 1995. "Short-Run and Long-Rub Causality in Time Series: Theory," Cahiers de recherche 9538, Universite de Montreal, Departement de sciences economiques.
- Mehl, Arnaud, 2000. "Unit root tests with double trend breaks and the 1990s recession in Japan," Japan and the World Economy, Elsevier, vol. 12(4), pages 363-379, December.
- Christiano, Lawrence J. & Ljungqvist, Lars, 1988. "Money does Granger-cause output in the bivariate money-output relation," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 217-235, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Felipe J. Fonseca & Daniel Ventosa-Santaulària, 2011. "Revenue Elasticity of the Main federal Taxes in Mexico," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 48(1), pages 89-111.
- Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
- Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016.
"Gold, oil, and stocks: Dynamic correlations,"
International Review of Economics & Finance,
Elsevier, vol. 42(C), pages 186-201.
- Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Gold, Oil, and Stocks," Papers 1308.0210, arXiv.org, revised Mar 2014.
- Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2014. "Gold, Oil, and Stocks," FinMaP-Working Papers 14, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Gold, Oil, and Stocks: Dynamic Correlations," CESifo Working Paper Series 5333, CESifo Group Munich.
More about this item
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-08c20013. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.