IDEAS home Printed from https://ideas.repec.org/r/mtl/montde/9538.html
   My bibliography  Save this item

Short-Run and Long-Rub Causality in Time Series: Theory

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Lee, Tae-Hwy & Yang, Weiping, 2014. "Granger-causality in quantiles between financial markets: Using copula approach," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 70-78.
  2. Renault, Eric & Triacca, Umberto, 2015. "Causality and separability," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 1-5.
  3. Woźniak, Tomasz, 2015. "Testing causality between two vectors in multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 876-894.
  4. Bodart, Vincent & Candelon, Bertrand, 2009. "Evidence of interdependence and contagion using a frequency domain framework," Emerging Markets Review, Elsevier, vol. 10(2), pages 140-150, June.
  5. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 2005-12, Universite de Montreal, Departement de sciences economiques.
  6. Konya, Laszlo, 2004. "Unit-Root, Cointegration and Granger Causality Test Results for Export and Growth in OECD Countries," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(2), pages 67-94.
  7. Christophe Kamps, 2005. "The Dynamic Effects of Public Capital: VAR Evidence for 22 OECD Countries," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 12(4), pages 533-558, August.
  8. repec:tpr:restat:v:99:y:2017:i:2:p:319-329 is not listed on IDEAS
  9. Marek Jarociński & Bartosz Maćkowiak, 2017. "Granger Causal Priority and Choice of Variables in Vector Autoregressions," The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 319-329, May.
  10. Hsiu-Hsin Ko, 2015. "On the indirect causality relation from exchange rates to fundamentals," Economics Bulletin, AccessEcon, vol. 35(3), pages 1518-1524.
  11. Judith A. Clarke & Mukesh Ralhan, 2005. "Direct and Indirect Causality Between Exports and Economic Output for Bangladesh and Sri Lanka: Horizon Matters," Econometrics Working Papers 0512, Department of Economics, University of Victoria.
  12. Majid M. Al-Sadoon, 2015. "Testing subspace Granger causality," Economics Working Papers 1495, Department of Economics and Business, Universitat Pompeu Fabra.
  13. 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.
  14. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
  15. Michael Lechner, 2006. "The Relation of Different Concepts of Causality in Econometrics," University of St. Gallen Department of Economics working paper series 2006 2006-15, Department of Economics, University of St. Gallen.
  16. Jonathan B. Hill, 2004. "Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited," Econometrics 0402002, EconWPA, revised 23 Mar 2005.
  17. Paraskevi Salamaliki, 2015. "Economic Policy Uncertainty and Economic Activity: A Focus on Infrequent Structural Shifts," Working Paper Series of the Department of Economics, University of Konstanz 2015-08, Department of Economics, University of Konstanz.
  18. Dimitris Christopoulos & Miguel A. León-Ledesma, 2009. "On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think," Studies in Economics 0909, School of Economics, University of Kent.
  19. Judith A. Giles, 2000. "Testing for Two-Step Granger Noncausality in Trivariate VAR Models," Econometrics Working Papers 0008, Department of Economics, University of Victoria.
  20. Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016. "Testing for Granger causality in large mixed-frequency VARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
  21. Vincent Bouvatier, 2010. "Hot money inflows and monetary stability in China: how the People's Bank of China took up the challenge," Applied Economics, Taylor & Francis Journals, vol. 42(12), pages 1533-1548.
  22. Mosconi, Rocco & Seri, Raffaello, 2006. "Non-causality in bivariate binary time series," Journal of Econometrics, Elsevier, vol. 132(2), pages 379-407, June.
  23. repec:ebl:ecbull:v:3:y:2008:i:61:p:1-14 is not listed on IDEAS
  24. Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
  25. 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.
  26. Toseef Azid & Muhammad Jamil & Aneela Kousar, 2005. "Impact of Exchange rate Volatility on Growth and Economic Performance: A Case Study of Pakistan, 1973-2003," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 44(4), pages 749-775.
  27. Lee, Hsiu-Chuan & Chang, Shu-Lien, 2013. "Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 197-216.
  28. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164 Edward Elgar Publishing.
  29. Christian M. Hafner & Helmut Herwartz, 2008. "Testing for Causality in Variance Usinf Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 89, pages 215-241.
  30. Jozef Barunik & Tomas Krehlik, 2015. "Measuring the frequency dynamics of financial connectedness and systemic risk," Papers 1507.01729, arXiv.org, revised Dec 2017.
  31. Jonathan B. Hill, 2007. "Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 747-765.
  32. Elias Ajaga & Peter Nunnenkamp, 2008. "Inward FDI, Value Added and Employment in US States: A Panel Cointegration Approach," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 63(04), pages 347-367, December.
  33. Fanelli, Luca & Paruolo, Paolo, 2010. "Speed of adjustment in cointegrated systems," Journal of Econometrics, Elsevier, vol. 158(1), pages 130-141, September.
  34. Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306.
  35. Vincent Bouvatier, 2006. "Hot Money Inflows in China : How the People's Bank of China Took up the Challenge," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00111153, HAL.
  36. Rohin Anhal, 2013. "Causality between GDP, Energy and Coal Consumption in India, 1970-2011: A Non-parametric Bootstrap Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 3(4), pages 434-446.
  37. Patrick Withey, 2014. "Energy Use, Income and Carbon Dioxide Emissions: Direct and Multi-Horizon Causality in Canada," International Journal of Energy Economics and Policy, Econjournals, vol. 4(2), pages 178-188.
  38. Ghassan, Hassan B. & ElHafidi, Miloud, 1999. "Tests de G-causalité et spécification d’un modèle économétrique: Application sur un panel sectoriel marocain
    [G-causality tests and specification of an econometric model: Evidence form Sectoral Mor    ," MPRA Paper 56433, University Library of Munich, Germany, revised 13 Jan 2000.
  39. Jonathan B. Hill, 2005. "Causation Delays and Causal Neutralization up to Three Steps Ahead: The Money-Output Relationship Revisited," Econometrics 0503016, EconWPA, revised 23 Mar 2005.
  40. Al-Sadoon, Majid M., 2014. "Geometric and long run aspects of Granger causality," Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
  41. Zhang, Hui Jun & Dufour, Jean-Marie & Galbraith, John W., 2016. "Exchange rates and commodity prices: Measuring causality at multiple horizons," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 100-120.
  42. Magdalena Osinska, 2011. "On the Interpretation of Causality in Granger’s Sense," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 129-140.
  43. Urmee Khan & Robert Lieli, 2016. "Information Flow Between Prediction Markets, Polls and Media: Evidence from the 2008 Presidential Primaries," Working Papers 201610, University of California at Riverside, Department of Economics.
  44. Tekin, Rıfat Barış, 2012. "Economic growth, exports and foreign direct investment in Least Developed Countries: A panel Granger causality analysis," Economic Modelling, Elsevier, vol. 29(3), pages 868-878.
  45. 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.
  46. repec:kap:iecepo:v:14:y:2017:i:4:d:10.1007_s10368-016-0355-1 is not listed on IDEAS
  47. Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2016. "Testing for Granger causality with mixed frequency data," Journal of Econometrics, Elsevier, vol. 192(1), pages 207-230.
  48. Philip Rothman & Dick van Dijk & Philip Hans Franses, 1999. "A Multivariate STAR Analysis of the Relationship Between Money and Output," Working Papers 9913, East Carolina University, Department of Economics.
  49. Weichun Chen & Judith A. Clarke & Nilanjana Roy, 2014. "Health and wealth: Short panel Granger causality tests for developing countries," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 23(6), pages 755-784, September.
  50. Konstantinos N. Konstantakis & Panayotis G. Michaelides, 2015. "Step-by-Step Causality Revisited: Theory and Evidence," Economics Bulletin, AccessEcon, vol. 35(2), pages 871-877.
  51. Jean-Marie Dufour & David Tessier, 2006. "Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices," Staff Working Papers 06-39, Bank of Canada.
  52. Ioana Viașu, 2015. "The long-term causality. A comparative study for some EU countries," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 3(2), pages 28-35, December.
  53. repec:eee:dyncon:v:86:y:2018:i:c:p:165-184 is not listed on IDEAS
  54. Salamaliki, Paraskevi K. & Venetis, Ioannis A., 2013. "Energy consumption and real GDP in G-7: Multi-horizon causality testing in the presence of capital stock," Energy Economics, Elsevier, vol. 39(C), pages 108-121.
  55. Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, vol. 169(2), pages 293-300.
  56. MAO TAKONGMO, Charles Olivier, 2016. "Government spending, GDP and exchange rate in Zero Lower Bound: measuring causality at multiple horizons," MPRA Paper 79703, University Library of Munich, Germany, revised 02 Jun 2017.
  57. Ralf Brüggemann & Christian Kascha, 2017. "Directed Graphs and Variable Selection in Large Vector Autoregressive Models," Working Paper Series of the Department of Economics, University of Konstanz 2017-06, Department of Economics, University of Konstanz.
  58. Tang, Chor Foon, 2008. "A re-examination of the relationship between electricity consumption and economic growth in Malaysia," Energy Policy, Elsevier, vol. 36(8), pages 3067-3075, August.
  59. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871.
  60. Paraskevi Salamaliki & Ioannis Venetis & Nicholas Giannakopoulos, 2013. "The causal relationship between female labor supply and fertility in the USA: updated evidence via a time series multi-horizon approach," Journal of Population Economics, Springer;European Society for Population Economics, vol. 26(1), pages 109-145, January.
  61. Konya, Laszlo, 2006. "Exports and growth: Granger causality analysis on OECD countries with a panel data approach," Economic Modelling, Elsevier, vol. 23(6), pages 978-992, December.
  62. Holtemöller, Oliver & Brautzsch, Hans-Ulrich & Drechsel, Katja & Drygalla, Andrej & Giesen, Sebastian & Hennecke, Peter & Kiesel, Konstantin & Loose, Brigitte & Meier, Carsten-Patrick & Zeddies, Götz, 2015. "Ökonomische Wirksamkeit der Konjunktur stützenden finanzpolitischen Maßnahmen der Jahre 2008 und 2009. Forschungsvorhaben im Auftrag des Bundesministeriums der Finanzen," IWH Online 4/2015, Halle Institute for Economic Research (IWH).
  63. Barunik, Jozef & Krehlik, Tomas, 2016. "Measuring the frequency dynamics of financial and macroeconomic connectedness," FinMaP-Working Papers 54, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  64. Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  65. Ying-Chao Hung & Neng-Fang Tseng, 2013. "Extracting informative variables in the validation of two-group causal relationship," Computational Statistics, Springer, vol. 28(3), pages 1151-1167, June.
  66. Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, June.
  67. Angelini, Giovanni & Bacchiocchi, Emanuele & Caggiano, Giovanni & Fanelli, Luca, 2017. "Uncertainty across volatility regimes," Research Discussion Papers 35/2017, Bank of Finland.
  68. Breitung, Jorg & Candelon, Bertrand, 2006. "Testing for short- and long-run causality: A frequency-domain approach," Journal of Econometrics, Elsevier, vol. 132(2), pages 363-378, June.
  69. Urmee Khan & Robert Lieli, 2017. "Information Flow Between Prediction Markets, Polls and Media: Evidence from the 2008 Presidential Primaries," Working Papers 201711, University of California at Riverside, Department of Economics.
  70. Lee, Bong Soo & Li, Wei & Wang, Steven Shuye, 2010. "The dynamics of individual and institutional trading on the Shanghai Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 116-137, January.
  71. Se Kyu Choi-Ha & Luis Felipe Lagos, 2003. "El Dinero como Indicador Líder," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(120), pages 259-283.
  72. Emre Aksoy, 2013. "Relationships between Employment and Growth from Industrial Perspective by Considering Employment Incentives: The Case of Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 74-86.
  73. Daniel Ventosa-Santaulària & José Eduardo Vera-Valdés, 2008. "Granger-Causality in the presence of structural breaks," Economics Bulletin, AccessEcon, vol. 3(61), pages 1-14.
  74. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  75. Ralph Yang-Cheng Lu & Hsiu-Chuan Lee & Peter Chiu, 2014. "Institutional Investor Sentiment and Market Returns: Evidence from the Taiwan Futures Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 140-167, December.
  76. Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006. "Bivariate causality analysis between FDI inflows and economic growth in Ghana," MPRA Paper 351, University Library of Munich, Germany, revised 09 Oct 2006.
  77. Chakraborty, Chandana & Nunnenkamp, Peter, 2008. "Economic Reforms, FDI, and Economic Growth in India: A Sector Level Analysis," World Development, Elsevier, vol. 36(7), pages 1192-1212, July.
  78. Aznar, A. & Domingo, C., 2006. "Determining long-run neutrality in a partially nonstationary model," Economics Letters, Elsevier, vol. 91(2), pages 236-242, May.
  79. Duplinskiy A., 2014. "Is regularization necessary? A Wald-type test under non-regular conditions," Research Memorandum 025, Maastricht University, Graduate School of Business and Economics (GSBE).
IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.