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On the specification of granger-causality tests using the cointegration methodology · Study

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ArticleOn the specification of granger-causality tests using the cointegration methodology

Ronald R. MacDonald1987

Article1987

On the specification of granger-causality tests using the cointegration methodology

Ronald R. MacDonald · Colm Kearney

63 citations·0/0 files stored·Economics Letters

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 63 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors 1981Autoregressive modelling and money-income causality detection 1986Federal deficits and short-term interest rates

Cited by

2009Dynamic Relationship between Stock Prices and Exchange Rates: Evidence from Three South Asian Countries 1995Public and private investment: Are there causal linkages?2010Does trade matter for stock market integration?1992The market for second-hand ships: some results on efficiency using cointegration 1998Unit roots and long-run causality: investigating the relationship between output, money and interest rates 2004Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises 1998Long- and short-run Fisher effects: new tests and new results 1998Budget deficits and exchange rates: further evidence from cointegration and causality tests

Details

Year1987

Typearticle

Published1987-01-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations63

Files0 public / 0

ShelfMonetary Policy and Economic Impact

Identifiers

doi10.1016/0165-1765(87)90052-8

openalex_workW2064508772

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