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Measuring and testing Granger causality over the spectrum: An application to European production expectation surveys

  • Lemmens, Aurélie
  • Croux, Christophe
  • Dekimpe, Marnik G.
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    File URL: http://www.sciencedirect.com/science/article/B6V92-4SFR7JK-1/2/b897d973b0d2d1e41e598ea02c85d0c2
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    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 24 (2008)
    Issue (Month): 3 ()
    Pages: 414-431

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    Handle: RePEc:eee:intfor:v:24:y:2008:i:3:p:414-431
    Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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    1. Pierce, David A. & Haugh, Larry D., 1977. "Causality in temporal systems : Characterization and a survey," Journal of Econometrics, Elsevier, vol. 5(3), pages 265-293, May.
    2. Oller, Lars-Erik, 1990. "Forecasting the business cycle using survey data," International Journal of Forecasting, Elsevier, vol. 6(4), pages 453-461, December.
    3. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June.
    4. Ulrich Woitek, 1998. "Height Cycles in the 18th and 19th Centuries," Working Papers 9811, Business School - Economics, University of Glasgow.
    5. Bassam Abual-Foul, 2004. "Testing the export-led growth hypothesis: evidence from Jordan," Applied Economics Letters, Taylor & Francis Journals, vol. 11(6), pages 393-396.
    6. 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.
    7. Geweke, John F, 1986. "The Superneutrality of Money in the United States: An Interpretation of the Evidence," Econometrica, Econometric Society, vol. 54(1), pages 1-21, January.
    8. Yousif Khalifa Al-Yousif, 2002. "Defense Spending and Economic Growth: Some Empirical Evidence from the Arab Gulf Region," Defence and Peace Economics, Taylor & Francis Journals, vol. 13(3), pages 187-197.
    9. Bergstrom, Reinhold, 1995. "The relationship between manufacturing production and different business survey series in Sweden 1968-;1992," International Journal of Forecasting, Elsevier, vol. 11(3), pages 379-393, September.
    10. Yao, Feng & Hosoya, Yuzo, 2000. "Inference on one-way effect and evidence in Japanese macroeconomic data," Journal of Econometrics, Elsevier, vol. 98(2), pages 225-255, October.
    11. Park, Jinwoo & Shenoy, Catherine, 2002. "An examination of the dynamic behavior of aggregate bond and stock issues," International Review of Economics & Finance, Elsevier, vol. 11(2), pages 175-189, May.
    12. Stanley L. Winer, 1986. "The Role of Exchange Rate Flexibility in the International Transmission of Inflation in Long and Shorter Runs: Canada, 1953 to 1981," Canadian Journal of Economics, Canadian Economics Association, vol. 19(1), pages 62-86, February.
    13. Peiers, Bettina, 1997. " Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 52(4), pages 1589-1614, September.
    14. repec:cup:cbooks:9780521423083 is not listed on IDEAS
    15. Oller, Lars-Erik & Tallbom, Christer, 1996. "Smooth and timely business cycle indicators for noisy Swedish data," International Journal of Forecasting, Elsevier, vol. 12(3), pages 389-402, September.
    16. Thoma, Mark, 2004. "Electrical energy usage over the business cycle," Energy Economics, Elsevier, vol. 26(3), pages 463-485, May.
    17. Mohsen Bahmani-Oskooee & Farhang Niroomand, 1999. "Openness and economic growth: an empirical investigation," Applied Economics Letters, Taylor & Francis Journals, vol. 6(9), pages 557-561.
    18. repec:cup:cbooks:9780521411462 is not listed on IDEAS
    19. Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2002. "Relationships between Australian Real Estate and Stock Market Prices--A Case of Market Inefficiency," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(3), pages 181-92, April.
    20. 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.
    21. Lemmens, A. & Croux, C. & Dekimpe, M.G., 2005. "On the Predictive Content of Production Surveys : a Pan-European Study," Other publications TiSEM adab9f0e-7dfd-4dc4-bd92-b, Tilburg University, School of Economics and Management.
    22. Jorg Dopke, 2004. "How Robust is the Empirical Link between Business-Cycle Volatility and Long-Run Growth in OECD Countries?," International Review of Applied Economics, Taylor & Francis Journals, vol. 18(1), pages 1-23.
    23. Philip Hans Franses & Yoshinori Kawasaki, 2004. "Do seasonal unit roots matter for forecasting monthly industrial production?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 77-88.
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