Cointegration and causality testing in time series for multivariate analysis through minerals industry case studies
Author
Abstract
Suggested Citation
DOI: 10.1007/s13563-024-00435-0
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-9.
- Stephan B. Bruns & David I. Stern, 2019. "Lag length selection and p-hacking in Granger causality testing: prevalence and performance of meta-regression models," Empirical Economics, Springer, vol. 56(3), pages 797-830, March.
- Hoover,Kevin D., 2001.
"Causality in Macroeconomics,"
Cambridge Books,
Cambridge University Press, number 9780521002882, June.
- Hoover,Kevin D., 2001. "Causality in Macroeconomics," Cambridge Books, Cambridge University Press, number 9780521452175, June.
- Rakesh Shahani & Utkarsh Singhal, 2023. "Do efficient commodity markets co-move: evidence from Indian base metals market," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 36(3), pages 413-425, September.
- Soytas, Ugur & Sari, Ramazan & Hammoudeh, Shawkat & Hacihasanoglu, Erk, 2009. "World oil prices, precious metal prices and macroeconomy in Turkey," Energy Policy, Elsevier, vol. 37(12), pages 5557-5566, December.
- Helmut Lütkepohl & Pentti Saikkonen & Carsten Trenkler, 2001.
"Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process,"
Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1-8.
- Lütkepohl, Helmut & Saikkonen, Pentti & Trenkler, Carsten, 2000. "Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process," SFB 373 Discussion Papers 2000,83, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M., 2010.
"The macroeconomic determinants of volatility in precious metals markets,"
Resources Policy, Elsevier, vol. 35(2), pages 65-71, June.
- Jonathan A. Batten, Cetin Ciner and Brian M. Lucey, 2008. "The Macroeconomic Determinants of Volatility in Precious Metals Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp255, IIIS.
- Gary Gorton & K. Geert Rouwenhorst, 2006. "Facts and Fantasies about Commodity Futures," Financial Analysts Journal, Taylor & Francis Journals, vol. 62(2), pages 47-68, March.
- Dudda, Tom L. & Klein, Tony & Nguyen, Duc Khuong & Walther, Thomas, 2022.
"Common Drivers of Commodity Futures?,"
QBS Working Paper Series
2022/05, Queen's University Belfast, Queen's Business School.
- Tom Dudda & Tony Klein & Duc Khuong Nguyen & Thomas Walther, 2022. "Common Drivers of Commodity Futures?," Working Papers 2207, Utrecht School of Economics.
- Cheung, Yin-Wong & Lai, Kon S, 1993. "Finite-Sample Sizes of Johansen's Likelihood Ration Tests for Conintegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(3), pages 313-328, August.
- John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, March.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Zhang, Yue-Jun & Wei, Yi-Ming, 2010.
"The crude oil market and the gold market: Evidence for cointegration, causality and price discovery,"
Resources Policy, Elsevier, vol. 35(3), pages 168-177, September.
- Yue-Jun Zhang & Yi-Ming Wei, 2009. "The crude oil market and the gold market: Evidence for cointegration, causality and price discovery," CEEP-BIT Working Papers 5, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
- Jerrett, Daniel & Cuddington, John T., 2008. "Broadening the statistical search for metal price super cycles to steel and related metals," Resources Policy, Elsevier, vol. 33(4), pages 188-195, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Rossen, Anja, 2015.
"What are metal prices like? Co-movement, price cycles and long-run trends,"
Resources Policy, Elsevier, vol. 45(C), pages 255-276.
- Rossen, Anja, 2014. "What are metal prices like? Co-movement, price cycles and long-run trends," HWWI Research Papers 155, Hamburg Institute of International Economics (HWWI).
- Simplice Asongu, 2014.
"REER Imbalances and Macroeconomic Adjustments in the Proposed West African Monetary Union,"
South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 276-289, June.
- Asongu, Simplice A, 2013. "REER Imbalances and Macroeconomic Adjustments in the Proposed West African Monetary Union," MPRA Paper 52211, University Library of Munich, Germany.
- Asongu Simplice, 2013. "REER Imbalances and Macroeconomic Adjustments in the Proposed West African Monetary Union," Working Papers of the African Governance and Development Institute. 13/030, African Governance and Development Institute..
- Kanjilal, Kakali & Ghosh, Sajal, 2017. "Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model," Resources Policy, Elsevier, vol. 52(C), pages 358-365.
- Erten, Bilge & Ocampo, José Antonio, 2013.
"Super Cycles of Commodity Prices Since the Mid-Nineteenth Century,"
World Development, Elsevier, vol. 44(C), pages 14-30.
- Bilge Erten, 2012. "Super-cycles of commodity prices since the mid-ninteenth century," Working Papers 110, United Nations, Department of Economics and Social Affairs.
- Mohamed Maher & Yanzhi Zhao, 2022. "Do Political Instability and Military Expenditure Undermine Economic Growth in Egypt? Evidence from the ARDL Approach," Defence and Peace Economics, Taylor & Francis Journals, vol. 33(8), pages 956-979, November.
- repec:cii:cepiei:2012-q3-131-4 is not listed on IDEAS
- Tang, Chor Foon, 2010. "The determinants of health expenditure in Malaysia: A time series analysis," MPRA Paper 24356, University Library of Munich, Germany.
- Taufiq Choudhry & Mohammad Hasan, 2008. "Exchange Rate Regime and Demand for Reserves: Evidence from Kenya, Mexico and Philippines," Open Economies Review, Springer, vol. 19(2), pages 167-181, April.
- Mohsen Bahmani-Oskooee & Taggert Brooks, 2003. "A new criteria for selecting the optimum lags in Johansen's cointegration technique," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 875-880.
- Bashiri Behmiri, Niaz & Pires Manso, José R., 2012. "Does Portuguese economy support crude oil conservation hypothesis?," Energy Policy, Elsevier, vol. 45(C), pages 628-634.
- Pål Boug & Håvard Hungnes & Takamitsu Kurita, 2024.
"The empirical modelling of house prices and debt revisited: a policy-oriented perspective,"
Empirical Economics, Springer, vol. 66(1), pages 369-404, January.
- Pål Boug & Håvard Hungnes & Takamitsu Kurita, 2021. "The empirical modelling of house prices and debt revisited. A policy-oriented perspective," Discussion Papers 967, Statistics Norway, Research Department.
- Pär Österholm, 2005.
"The Taylor Rule: A Spurious Regression?,"
Bulletin of Economic Research, Wiley Blackwell, vol. 57(3), pages 217-247, July.
- Österholm, Pär, 2003. "The Taylor Rule: A Spurious Regression?," Working Paper Series 2003:20, Uppsala University, Department of Economics.
- Levent KORAP, 2008.
"Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach,"
Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
- Levent, Korap, 2008. "Exchange rate determination of TL/US$: a co-integration approach," MPRA Paper 19659, University Library of Munich, Germany.
- Charles Yuji Horioka & Akiko Terada-Hagiwara, 2016.
"The Impact of Pre-marital Sex Ratios on Household Saving in Two Asian Countries: The Competitive Saving Motive Revisited,"
ISER Discussion Paper
0975, Institute of Social and Economic Research, The University of Osaka.
- Charles Yuji Horioka & Akiko Terada-Hagiwara, 2016. "The Impact of Pre-marital Sex Ratios on Household Saving in Two Asian Countries: The Competitive Saving Motive Revisited," NBER Working Papers 22412, National Bureau of Economic Research, Inc.
- Horioka, Charles Yuji & Terada-Hagiwara, Akiko, 2016. "The Impact of Pre-marital Sex Ratios on Household Saving in Two Asian Countries: The Competitive Saving Motive Revisited," AGI Working Paper Series 2016-14, Asian Growth Research Institute.
- Martin Schmidt, 2003. "Monetary dynamics: a market approach," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 139-152.
- Scott Hendry, 1995. "Long-Run Demand for M1," Macroeconomics 9511001, University Library of Munich, Germany.
- Tiwari, Aviral Kumar, 2012. "An empirical investigation of causality between producers' price and consumers' price indices in Australia in frequency domain," Economic Modelling, Elsevier, vol. 29(5), pages 1571-1578.
- Mansor H. Ibrahim, 2006.
"Stock Prices and Bank Loan Dynamics in a Developing Country: The Case of Malaysia,"
Journal of Applied Economics, Taylor & Francis Journals, vol. 9(1), pages 71-89, May.
- Mansor H. Ibrahim, 2006. "Stock prices and bank loan dynamics in a developing country: The case of Malaysia," Journal of Applied Economics, Universidad del CEMA, vol. 9, pages 71-89, May.
- Adu, Raymond & Litsios, Ioannis & Baimbridge, Mark, 2019. "Real exchange rate and asymmetric shocks in the West African Monetary Zone (WAMZ)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 59(C), pages 232-249.
- MacDonald, Ronald & Marsh, Ian W., 2004.
"Currency spillovers and tri-polarity: a simultaneous model of the US dollar, German mark and Japanese yen,"
Journal of International Money and Finance, Elsevier, vol. 23(1), pages 99-111, February.
- MacDonald, Ronald & Marsh, Ian W, 1999. "Currency Spillovers and Tri-Polarity: A Simultaneous Model of the US Dollar, German Mark and Japanese Yen," CEPR Discussion Papers 2210, C.E.P.R. Discussion Papers.
- Chung, Tin-fah & Ariff, M., 2016. "A test of the linkage among money supply, liquidity and share prices in Asia," Japan and the World Economy, Elsevier, vol. 39(C), pages 48-61.
More about this item
Keywords
Causal inference; Causality tests; Cointegration; Granger causality; Minerals Industry; Toda Yamamoto; Variable-lag Granger causality; Mineral Economics;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:minecn:v:38:y:2025:i:1:d:10.1007_s13563-024-00435-0. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.