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Efficient tests of long‐run causation in trivariate VAR processes with a rolling window study of the money–income relationship
16 references·12 citing·34 second hop
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 1988Some recent development in a concept of causality2,982 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 1996Making wald tests work for cointegrated VAR systems900 cited
  • 1993Vector Autoregressions and Causality867 cited
  • 2010Some Recent Developments in a Concept of Causality790 cited
  • 1992Money, Income, Prices and Interest Rates660 cited
  • 1987Interpreting Evidence on Money-Income Causality559 cited

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1997
Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
454 cited

Cited by

  • 2019Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach100 cited
  • 2015On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing94 cited
  • 2021Can clean energy stock price rule oil price? New evidences from a regime-switching model at first and second moments89 cited
  • 2016A new time-varying optimal copula model identifying the dependence across markets78 cited
  • 2021Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets77 cited
  • 2020Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets72 cited
  • 2017Sluggish private investment in Japan’s Lost Decade: Mixed frequency vector autoregression approach32 cited
  • 2020Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality30 cited
  • 2019On the relationship between export and economic growth: A nonparametric causality-in-quantiles approach for Turkey26 cited
  • 2013Measuring rank correlation coefficients between financial time series: A GARCH-copula based sequence alignment algorithm24 cited
  • 2018THE IMPACT OF MONEY ON OUTPUT IN CZECH REPUBLIC AND ROMANIA18 cited
  • 2011Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective*17 cited