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A Procedure for Testing Granger Causality of Infinite Order


  • Fathali Firoozi

    (Department of Economics, University of Texas at San Antonio, U.S.A.)

  • Donald Lien

    (Department of Economics, University of Texas at San Antonio, U.S.A.)


No abstract is available for this item.

Suggested Citation

  • Fathali Firoozi & Donald Lien, 2011. "A Procedure for Testing Granger Causality of Infinite Order," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 10(2), pages 165-170, August.
  • Handle: RePEc:ijb:journl:v:10:y:2011:i:2:p:165-170

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    References listed on IDEAS

    1. Hatanaka, Michio, 1976. "Several efficient two-step estimators for the dynamic simultaneous equations model with autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 4(2), pages 189-204, May.
    2. Lutkepohl, Helmut & Saikkonen, Pentti, 1997. "Impulse response analysis in infinite order cointegrated vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 127-157, November.
    3. Hatanaka, Michio, 1974. "An efficient two-step estimator for the dynamic adjustment model with autoregressive errors," Journal of Econometrics, Elsevier, vol. 2(3), pages 199-220, September.
    4. L├╝tkepohl, Helmut & POSKITT, D.S., 1996. "Testing for Causation Using Infinite Order Vector Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 12(01), pages 61-87, March.
    5. M. Ruth & K. Donaghy & P. Kirshen, 2006. "Introduction," Chapters,in: Regional Climate Change and Variability, chapter 1 Edward Elgar Publishing.
    6. 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.
    7. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    More about this item


    autoregressive; infinite lags; dynamic models;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models


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