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Multivariate-based causality tests of twin deficits in the US

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  • Abdulnasser Hatemi-J
  • Ghazi Shukur

Abstract

This paper provides an alternative methodology for testing the causality direction between twin deficits in the US. Rao's multivariate F-test combined with the bootstrap simulation technique has appealing properties, especially when the data-generating process is characterized by unit roots. In addition the results show that the effect of structural breaks are of paramount importance when the causality tests are conducted. In much contemporary applied econometrics there is all-too-little attention given to the possibility of changes in the economic process.

Suggested Citation

  • Abdulnasser Hatemi-J & Ghazi Shukur, 2002. "Multivariate-based causality tests of twin deficits in the US," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(6), pages 817-824.
    • Handle: RePEc:taf:japsta:v:29:y:2002:i:6:p:817-824
    DOI: 10.1080/02664760220136159
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    References listed on IDEAS

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