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Granger-Causality in the presence of structural breaks
16 references·4 citing·36 second hop
Granger-Causality in the presence of structural breaks (2008)Granger-Causality in the presence of stru…Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Investigating Causal Relation…An Out of Sample Test for Granger Causality (2000)An Out of Sample Test for Gra…Short Run and Long Run Causality in Time Series: Theory (1998)Short Run and Long Run Causal…Multiple Trend Breaks and the Unit-Root Hypothesis (1997)Multiple Trend Breaks and the…Further evidence on breaking trend functions in macroeconomic variables (1997)Further evidence on breaking …Testing for Causation Between Two Variables in Higher-Dimensional VAR Models (1993)Testing for Causation Between…Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Nonstationarity and Level Shi…Nonstationary and Level Shifts With An Application To Purchasing Power Parity (1991)Nonstationary and Level Shift…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Trends versus Random Walks in Time Series Analysis (1988)Trends versus Random Walks in…Money does Granger-cause output in the bivariate money-output relation (1988)Money does Granger-cause outp…Velocity and the Variability of Money Growth: Evidence from Granger-Causality Tests: Note (1987)Velocity and the Variability …Understanding spurious regressions in econometrics (1986)Understanding spurious regres…MONEY, INCOME, AND CAUSALITY (1972)MONEY, INCOME, AND CAUSALITYMovements in international bond markets: The role of oil prices (2020)Movements in international bo…Financial development and energy consumption in emerging markets: Smooth structural shifts and causal linkages (2020)Financial development and ene…Oil Prices and Monetary Policy in Emerging Markets: Structural Shifts in Causal Linkages (2018)Oil Prices and Monetary Polic…Exports and economic growth in Sub-Saharan Africa: New insights from innovative econometric methods (2018)Exports and economic growth i…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Automatic Lag Selection in Covariance Matrix Estimation (1994)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)What have We Learnt from the Convergence Debate? (2003)The saving and investment nexus for China: evidence from cointegration tests (2005)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Statistical inference in vector autoregressions with possibly integrated processes (1995)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Permanent and Temporary Components of Stock Prices (1988)Economic Reforms, FDI, and Economic Growth in India: A Sector Level Analysis (2008)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship* (2019)Causal Ordering and Identifiability (1977)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site (2009)Testing for Granger non-causality in heterogeneous panels (2012)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Testing for a unit root in variables with a double change in the mean (1998)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)
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References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1997Further evidence on breaking trend functions in macroeconomic variables2,035 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1997Multiple Trend Breaks and the Unit-Root Hypothesis1,504 cited
  • 1992Nonstationarity and Level Shifts With an Application to Purchasing Power Parity1,230 cited
  • 1998Short Run and Long Run Causality in Time Series: Theory290 cited
  • 1988Trends versus Random Walks in Time Series Analysis264 cited
  • 1991Nonstationary and Level Shifts With An Application To Purchasing Power Parity189 cited
  • 1988Money does Granger-cause output in the bivariate money-output relation170 cited
  • 1993Testing for Causation Between Two Variables in Higher-Dimensional VAR Models119 cited
  • 1987Velocity and the Variability of Money Growth: Evidence from Granger-Causality Tests: Note

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76 cited
  • 2000An Out of Sample Test for Granger Causality76 cited
  • Cited by

    • 2018Oil Prices and Monetary Policy in Emerging Markets: Structural Shifts in Causal Linkages103 cited
    • 2020Financial development and energy consumption in emerging markets: Smooth structural shifts and causal linkages71 cited
    • 2020Movements in international bond markets: The role of oil prices62 cited
    • 2018Exports and economic growth in Sub-Saharan Africa: New insights from innovative econometric methods13 cited