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Inference and causality in economic time series models

In: Handbook of Econometrics

Citations

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Cited by:

  1. Shao, Ying-Hui & Yang, Yan-Hong & Shao, Hao-Lin & Stanley, H. Eugene, 2019. "Time-varying lead–lag structure between the crude oil spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 723-733.
  2. Aaltonen, J. & Östermark, R., 1997. "A rolling test of granger causality between the Finnish and Japanese security markets," Omega, Elsevier, vol. 25(6), pages 635-642, December.
  3. Ivan D. Trofimov Nazaria Md. Aris Dickson C. D. Xuan, 2018. "Macroeconomic and Demographic Determinants of Residential Property Prices in Malaysia," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 21(2), pages 71-96, November.
  4. Zanin, Massimiliano & Belkoura, Seddik, 2018. "On the applicability of the Lead/Lag Ratio in causality assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 186-196.
  5. Al-Sadoon, Majid M., 2019. "Testing subspace Granger causality," Econometrics and Statistics, Elsevier, vol. 9(C), pages 42-61.
  6. Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006. "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June.
  7. Danilo Santini & David Poyer, 2008. "Motor Vehicle Output and GDP, 1968–2007," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(4), pages 483-491, December.
  8. Skalin, Joakim & Terasvirta, Timo, 1999. "Another Look at Swedish Business Cycles, 1861-1988," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(4), pages 359-378, July-Aug..
  9. Brorsen, B. Wade & Chavas, Jean-Paul & Grant, Warren R., 1991. "Market Structure and Spatial Price Dynamics," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 23(2), pages 65-74, December.
  10. Marin, Dalia, 1992. "Is the Export-Led.Growth Hypothesis Valid for Industrialized Countries?," The Review of Economics and Statistics, MIT Press, vol. 74(4), pages 678-688, November.
  11. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
  12. Zhou, Wei-Xing & Sornette, Didier, 2006. "Non-parametric determination of real-time lag structure between two time series: The "optimal thermal causal path" method with applications to economic data," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 195-224, March.
  13. Didier Sornette & Wei-Xing Zhou, 2005. "Non-parametric determination of real-time lag structure between two time series: the 'optimal thermal causal path' method," Quantitative Finance, Taylor & Francis Journals, vol. 5(6), pages 577-591.
  14. Alberto Chong & Luisa Zanforlin, 2004. "Inward-Looking Policies, Institutions, Autocrats, and Economic Growth in Latin America: An Empirical Exploration," Public Choice, Springer, vol. 121(3), pages 335-361, February.
  15. Nilsson, Kristian, 1999. "Alternative Measures of the Swedish Real Effective Exchange Rate," Working Papers 68, National Institute of Economic Research.
  16. Mosconi, Rocco & Seri, Raffaello, 2006. "Non-causality in bivariate binary time series," Journal of Econometrics, Elsevier, vol. 132(2), pages 379-407, June.
  17. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Short and long run causality measures: Theory and inference," Journal of Econometrics, Elsevier, vol. 154(1), pages 42-58, January.
  18. Stock, James H. & Watson, Mark W., 1989. "Interpreting the evidence on money-income causality," Journal of Econometrics, Elsevier, vol. 40(1), pages 161-181, January.
  19. Xu, Hai-Chuan & Zhou, Wei-Xing & Sornette, Didier, 2017. "Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 173-183.
  20. Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2014. "Causality and contagion in EMU sovereign debt markets," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 12-27.
  21. Rey, Serge, 2001. "Les taux de change bilatéraux adoptés pour l’entrée dans l’euro sont-ils des taux d’équilibre?," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(1), pages 75-112, mars.
  22. Uri, Noel D., 1999. "Energy and the use of conservation tillage in US agriculture," Energy Policy, Elsevier, vol. 27(5), pages 299-306, May.
  23. Genaro, SUCARRAT, 2006. "The First Stage in Hendry’s Reduction Theory Revisited," Discussion Papers (ECON - Département des Sciences Economiques) 2006041, Université catholique de Louvain, Département des Sciences Economiques.
  24. Al-Sadoon, Majid M., 2014. "Geometric and long run aspects of Granger causality," Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
  25. Peter Adams & Michael D. Hurd & Daniel L. McFadden & Angela Merrill & Tiago Ribeiro, 2004. "Healthy, Wealthy, and Wise? Tests for Direct Causal Paths between Health and Socioeconomic Status," NBER Chapters, in: Perspectives on the Economics of Aging, pages 415-526, National Bureau of Economic Research, Inc.
  26. Bai, Zhidong & Wong, Wing-Keung & Zhang, Bingzhi, 2010. "Multivariate linear and nonlinear causality tests," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(1), pages 5-17.
  27. Eleanor Doyle, 1998. "Export-output causality: The Irish case 1953–93," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 26(2), pages 147-161, June.
  28. Nuri Yildirim & Huseyin Tastan, 2012. "Capital Flows and Economic Growth across Spectral requencies: Evidence from Turkey," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(4), pages 441-462, September.
  29. Brillinger, David R., 1996. "Remarks Concerning Graphical Models for Time Series and Point Processes," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 16(1), November.
  30. Uri, Noel D., 1996. "Changing crude oil price effects on US agricultural employment," Energy Economics, Elsevier, vol. 18(3), pages 185-202, July.
  31. Serge Rey, 2001. "Les taux de change bilatéraux adoptés pour l’entrée dans l’Euro sont-ils des taux d’équilibre? Une tentative de réponse à l’aide de la parité des pouvoirs d’achat et de la parité des coûts," Post-Print hal-01885323, HAL.
  32. Trofimov, Ivan D. & Md. Aris, Nazaria & C. D. Xuan, Dickson, 2018. "Macroeconomic and demographic determinants of residential property prices in Malaysia," MPRA Paper 85819, University Library of Munich, Germany.
  33. Uri, Noel D., 1996. "Crude-oil price volatility and agricultural employment in the USA," Applied Energy, Elsevier, vol. 54(4), pages 355-373, August.
  34. Uri, Noel D., 1996. "Crude oil price volatility and unemployment in the United States," Energy, Elsevier, vol. 21(1), pages 29-38.
  35. Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64, Elsevier.
  36. Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2017. "Crude Oil Price Volatility Spillovers and Agricultural Commodities: A Study in Time and Frequency Domains," Review of Economics & Finance, Better Advances Press, Canada, vol. 9, pages 42-56, August.
  37. Bonaccolto, Giovanni & Caporin, Massimiliano & Panzica, Roberto, 2019. "Estimation and model-based combination of causality networks among large US banks and insurance companies," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 1-21.
  38. Yener Coskun & Christos Bouras & Rangan Gupta & Mark E. Wohar, 2021. "Multi-Horizon Financial and Housing Wealth Effects across the U.S. States," Sustainability, MDPI, Open Access Journal, vol. 13(3), pages 1-20, January.
  39. Manfred Deistler & Klaus Neusser, 2004. "Prognose uni- und multivariater Zeitreihen," Diskussionsschriften dp0401, Universitaet Bern, Departement Volkswirtschaft.
  40. Calvo-Pardo, Hector & Mancini, Tullio & Olmo, Jose, 2021. "Granger causality detection in high-dimensional systems using feedforward neural networks," International Journal of Forecasting, Elsevier, vol. 37(2), pages 920-940.
  41. David Havrlant & Roman Hušek, 2011. "Models of Factors Driving the Czech Export," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(3), pages 195-215.
  42. Banerjee, Aniruddha, 2003. "Does incentive regulation 'cause' degradation of retail telephone service quality?," Information Economics and Policy, Elsevier, vol. 15(2), pages 243-269, June.
  43. Han Lin Shang & Kaiying Ji & Ufuk Beyaztas, 2021. "Granger causality of bivariate stationary curve time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 626-635, July.
  44. Adolfo Sachsida & Mário Jorge Cardoso de Mendonça, 2006. "Domestic Saving and Investment Revised: Can the Feldstein-Horioka Equation be Used for Policy Analysis?," Discussion Papers 1158, Instituto de Pesquisa Econômica Aplicada - IPEA.
  45. McCullough, B. D., 1997. "An analysis of stock market transactions data," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 887-903.
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