Tests for Long-Run Granger Non-Causality in Cointegrated Systems
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- Taku Yamamoto & Eiji Kurozumi, 2006. "Tests for Long-Run Granger Non-Causality in Cointegrated Systems," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 703-723, September.
- Yamamoto, Taku & Kurozumi, Eiji, 2003. "Tests for Long-Run Granger Non-Causality in Cointegrated Systems," Discussion Papers 2003-12, Graduate School of Economics, Hitotsubashi University.
References listed on IDEAS
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
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More about this item
KeywordsVector autoregression; Cointegration; Long-run causality; Hypothesis testing;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-12-14 (All new papers)
- NEP-ECM-2003-12-14 (Econometrics)
- NEP-ETS-2003-12-14 (Econometric Time Series)
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