Measuring the Strength of Cointegration and Granger-Causality

Erdal Atukeren

11 citations0/0 files storedRepository for Publications and Research Data (ETH Zurich)

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

This paper proposes a methodology that combines the use of Schwarz's BIC in subset autoregression and subset transfer function identification along with the posterior odds ratio test developed by Poskitt & Tremayne (1987) in the context of testing for Granger-causality and cointegration tests. This approach provides a measure for the strength (decisiveness) of causality and cointegration between the variables of interest. As an illustration of our methodology, we reexamine the case of bivariate relationship between money and income in Canada.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 11 citations exist upstream.

References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1988Testing for a Unit Root in Time Series Regression 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1987Interpreting Evidence on Money-Income Causality 1982Non-causality due to omitted variables 1992Is the Export-Led Growth Hypothesis Valid for Industrialized Countries?1979Autoregressive Modeling of Canadian Money and Income Data

Cited by

2013Informed Trading, Flow Toxicity and the Impact on Intraday Trading Factors 2015Institutionalisation of derivatives trading and economic growth : evidence from South Africa

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.