Arbeitspapier
Measuring the strength of cointegration and Granger-causality
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: KOF Working Papers ; No. 78
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Business Fluctuations; Cycles
- Thema
-
Schwarz criterion
Cointegration
Granger-causality
Posterior odds ratio
Money-Income Causality
Kointegration
Kausalanalyse
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Atukeren, Erdal
- Ereignis
-
Veröffentlichung
- (wer)
-
ETH Zurich, KOF Swiss Economic Institute
- (wo)
-
Zurich
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Atukeren, Erdal
- ETH Zurich, KOF Swiss Economic Institute
Entstanden
- 2003
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