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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.)

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    No abstract is available for this item.

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    Article provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.

    Volume (Year): 10 (2011)
    Issue (Month): 2 (August)
    Pages: 165-170

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    Handle: RePEc:ijb:journl:v:10:y:2011:i:2:p:165-170
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    1. 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.
    2. 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.
    3. 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.
    4. Lütkepohl, 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. 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.
    6. 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.
    7. M. Ruth & K. Donaghy & P. Kirshen, 2006. "Introduction," Chapters, in: Regional Climate Change and Variability, chapter 1 Edward Elgar.
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