Effects of simultaneity on testing Granger-causality – a cautionary note about statistical problems and economic misinterpretations
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References listed on IDEAS
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Some Recent Papers on Granger Causality
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-12-03 00:30:00
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More about this item
KeywordsGranger causality; test; simultaneity; instantaneous causality;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2012-10-20 (Econometrics)
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