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Test of persistent causality with an application of the expectations theory of the term structure

Author

Listed:
  • C. Bruneau
  • E. Jondeau

Abstract

In this paper, address the problem of testing persistent causality between integrated, possibly cointegrated, time series.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • C. Bruneau & E. Jondeau, 1996. "Test of persistent causality with an application of the expectations theory of the term structure," THEMA Working Papers 96-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    • Handle: RePEc:ema:worpap:96-14
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    More about this item

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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