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Non-parametric determination of real-time lag structure between two time series: The "optimal thermal causal path" method with applications to economic data

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  • Zhou, Wei-Xing
  • Sornette, Didier
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    Article provided by Elsevier in its journal Journal of Macroeconomics.

    Volume (Year): 28 (2006)
    Issue (Month): 1 (March)
    Pages: 195-224

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    Handle: RePEc:eee:jmacro:v:28:y:2006:i:1:p:195-224
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622617

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    1. Cogley, Timothy & Sargent, Thomas J., 2005. "The conquest of U.S. inflation: learning and robustness to model uncertainty," Working Paper Series 0478, European Central Bank.
    2. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 452-471.
    3. Strozzi, Fernanda & Zaldı́var, José-Manuel & Zbilut, Joseph P, 2002. "Application of nonlinear time series analysis techniques to high-frequency currency exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(3), pages 520-538.
    4. Robert J. Barro, 2012. "Inflation and Economic Growth," CEMA Working Papers 568, China Economics and Management Academy, Central University of Finance and Economics.
    5. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, vol. 48(5), pages 1149-67, July.
    6. Robert Mundell, 1963. "Inflation and Real Interest," Journal of Political Economy, University of Chicago Press, vol. 71, pages 280.
    7. Fama, Eugene F, 1982. "Inflation, Output, and Money," The Journal of Business, University of Chicago Press, vol. 55(2), pages 201-31, April.
    8. Kevin J. Lansing, 2000. "Exploring the causes of the Great Inflation," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue jul7.
    9. Fountas, Stilianos & Karanasos,Menelaos, 2001. "Inflation and Output Growth Uncertainty and their Relationship with Inflation and Output Growth," Working Papers 0053, National University of Ireland Galway, Department of Economics, revised 2001.
    10. Hyeon-Seung Huh & Hyun-Hoon Lee, 2002. "Asymmetric output cost of lowering inflation: empirical evidence for Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 35(2), pages 218-238, May.
    11. D. Sornette & A. Johansen, 2001. "Significance of log-periodic precursors to financial crashes," Papers cond-mat/0106520, arXiv.org.
    12. Hyeon-seung Huh, 2002. "Estimating Asymmetric Output Cost of Lowering Inflation for Australia," Southern Economic Journal, Southern Economic Association, vol. 68(3), pages 600-616, January.
    13. Apergis, Nicholas, 2004. "Inflation, output growth, volatility and causality: evidence from panel data and the G7 countries," Economics Letters, Elsevier, vol. 83(2), pages 185-191, May.
    14. Geweke, John, 1984. "Inference and causality in economic time series models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 19, pages 1101-1144 Elsevier.
    15. Chamberlain, Gary, 1982. "The General Equivalence of Granger and Sims Causality," Econometrica, Econometric Society, vol. 50(3), pages 569-81, May.
    16. Neil R. Ericsson & John S. Irons & Ralph W. Tryon, 2000. "Output and Inflation in the Long Run," Amherst Economic Papers 2000.01, Amherst College, Department of Economics, revised 24 Oct 2000.
    17. Zhou, Wei-Xing & Sornette, Didier, 2004. "Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 586-608.
    18. Gary Shelley & Frederick Wallace, 2004. "Inflation, money, and real GDP in Mexico: a causality analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 223-225.
    19. Fischer, Stanley, 1974. "Money and the Production Function," Economic Inquiry, Western Economic Association International, vol. 12(4), pages 517-33, December.
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