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Vector autoregressive-based Granger causality test in the presence of instabilities
16 references·10 citing·45 second hop
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 2005Estimation and Inference of Impulse Responses by Local Projections4,629 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 1999Forecasting inflation1,273 cited
  • 2001Vector Autoregressions1,168 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 2001Evolving Post-World War II U.S. Inflation Dynamics914 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices864 cited
  • 2006Has Monetary Policy Become More Effective?768 cited
  • 1996Evidence on Structural Instability in Macroeconomic Time Series Relations617 cited
  • 1994Evidence on Structural Instability in Macroeconomic Time Series Relations600 cited

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2001
Shifting endpoints in the term structure of interest rates
439 cited

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  • 2023How connected is the crypto market risk to investor sentiment?37 cited
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