✦ LIBER ✦

Tests for Long-Run Granger Non-Causality in Cointegrated Systems

✍ Scribed by Taku Yamamoto; Eiji Kurozumi

Book ID: 111039984
Publisher: John Wiley and Sons
Year: 2006
Tongue: English
Weight: 609 KB
Volume: 27
Category: Article
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.2006.00484.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

INFRASTRUCTURE, LONG-RUN ECONOMIC GROWTH

INFRASTRUCTURE, LONG-RUN ECONOMIC GROWTH AND CAUSALITY TESTS FOR COINTEGRATED PANELS

✍ DAVID CANNING; PETER PEDRONI 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 164 KB

Bootstrap and Asymptotic Tests of Long-r

Bootstrap and Asymptotic Tests of Long-run Relationships in Cointegrated Systems

✍ Stefano Fachin 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 142 KB

Testing for Granger (non-)causality in a

Testing for Granger (non-)causality in a time-varying coefficient VAR model

✍ Dimitris K. Christopoulos; Miguel A. León-Ledesma 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 156 KB

## Abstract In this paper we propose Granger (non‐)causality tests based on a VAR model allowing for time‐varying coefficients. The functional form of the time‐varying coefficients is a logistic smooth transition autoregressive (LSTAR) model using time as the transition variable. The model allows f