The Granger Non-Causality Test in Cointegrated Vector Autoregressions
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- Chigira, Hiroaki & Yamamoto, Taku, 2003. "The Granger Non-Causality Test in Cointegrated Vector Autoregressions," Discussion Papers 2003-13, 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.
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- Yiannis Kamarianakis & Vagelis Kaslis, 2005. "Geographical competition-complementarity relationships between Greek regional economies," ERSA conference papers ersa05p552, European Regional Science Association.
More about this item
KeywordsVector autoregression; Cointegration; Granger 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-2004-01-05 (All new papers)
- NEP-ECM-2004-01-05 (Econometrics)
- NEP-ETS-2004-01-05 (Econometric Time Series)
- NEP-RMG-2004-01-05 (Risk Management)
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