Estimating the long memory granger causality effect with a spectrum estimator
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References listed on IDEAS
- Leamer, Edward E., 1985. "Vector autoregressions for causal inference?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 22(1), pages 255-304, January.
- 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.
- Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-552, September.
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- repec:ebl:ecbull:eb-17-00098 is not listed on IDEAS
- Morana, Claudio, 2009.
"On the macroeconomic causes of exchange rate volatility,"
International Journal of Forecasting,
Elsevier, vol. 25(2), pages 328-350.
- Claudio Morana, 2007. "On the macroeconomic causes of exchange rates volatility," ICER Working Papers 8-2007, ICER - International Centre for Economic Research.
- Yushu Li, 2015. "Estimate Long Memory Causality Relationship by Wavelet Method," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 531-544, April.
- Li, Yushu, 2012. "Estimating Long Memory Causality Relationships by a Wavelet Method," Working Papers 2012:15, Lund University, Department of Economics.
- Wen-Den Chen, 2008. "Is it a short-memory, long-memory, or permanently Granger-causation influence?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 607-620.
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