Semiparametric Innovation-Based Tests of Orthogonality and Causality Between Two Infinite-Order Cointegrated Ceries with Application to Canada/US Monetary Interactions
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KeywordsInfinite-order cointegrated vector autoregressive process; independence; causality; residual cross-correlation; consistency; asymptotic power;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-05 (All new papers)
- NEP-ECM-2011-03-05 (Econometrics)
- NEP-ETS-2011-03-05 (Econometric Time Series)
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