Measuring the strength of cointegration and Granger-causality
This study uses Poskitt and Tremayne's (1987) posterior odds ratio test and the associated model portfolio approach to measure the strength of the evidence from cointegration and Granger-causality tests. As an illustration of the methodology, the bivariate relationship between money and income in Canada is re-examined using historical data.
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Volume (Year): 37 (2005)
Issue (Month): 14 ()
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chenoweth, Timothy & Dowling, Karen & Hubata, Robert & St. Louis, Robert, 2004. "Distance and prediction error variance constraints for ARMA model portfolios," International Journal of Forecasting, Elsevier, vol. 20(1), pages 41-52.
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- Marin, Dalia, 1992. "Is the Export-led Growth Hypothesis Valid for Industrialized Countries?," Munich Reprints in Economics 3112, University of Munich, Department of Economics.
- Dorfman, Jeffrey H., 1995. "A numerical bayesian test for cointegration of AR processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 289-324.
- Lutkepohl, Helmut, 1982. "Non-causality due to omitted variables," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 367-378, August.
- Penm, J. H. W. & Terrell, R. D., 1984. "Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'," Journal of Econometrics, Elsevier, vol. 24(3), pages 311-330, March.
- Kang, Heejoon, 1989. "The optimal lag selection and transfer function analysis in Granger causality tests," Journal of Economic Dynamics and Control, Elsevier, vol. 13(2), pages 151-169, April.
- Phillips, Peter C B & Ploberger, Werner, 1996. "An Asymptotic Theory of Bayesian Inference for Time Series," Econometrica, Econometric Society, vol. 64(2), pages 381-412, March.
- Stock, James H. & Watson, Mark W., 1989. "Interpreting the evidence on money-income causality," Journal of Econometrics, Elsevier, vol. 40(1), pages 161-181, January.
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