Granger causality, exogeneity, cointegration, and economic policy analysis
نویسندگان
چکیده
منابع مشابه
Causality, Conditional Exogeneity, and Granger Causality
We relate notions of structural causality and conditional exogeneity as de ned in White and Chalak (2006) (WC) to the concept of Granger causality. We show that given conditional exogeneity, structural non-causality implies retrospective Granger non-causality, an extension of the classical Granger (1969) non-causality condition. We also provide a form of converse to this result and tests for re...
متن کاملMeasuring 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 betwee...
متن کاملCore Inflation and Economic Growth, Does Nonlinearity Matters? A Nonlinear Granger Causality Analysis
T his empirical analysis endeavors to trace out the causal nexus between core inflation and economic growth from the perspective of twenty worlds’ leading economy with the help of the nonlinear Granger causality approach by using time series data from 1981 to 2016. Based on nonlinear Granger causality results, it has been found that there is unidirectional casualty running from core ...
متن کاملTelecommunications and Economic Activity: An Analysis of Granger Causality
The pervasive role of telecommunications in contemporary commerce is well documented, and has dramatically increased the demand for services. Across the world, countries are seeking to improve telecommunications infrastructure and benefit from anticipated increases in economic activity, and a causal relation between the two is often tacitly assumed. This paper analyzes aggregate data at the nat...
متن کاملTrivariate causality between economic growth, urbanisation and electricity consumption in Angola: Cointegration and causality analysis
This paper investigates the causal relationship between economic growth, urbanisation and electricity consumption in the case of Angola, while utilizing the data over the period of 1971–2009. We have applied Lee and Strazicich (2003. The Review of Economics and Statistics 63, 1082–1089; 2004. Working Paper. Department of Economics, Appalachian State University) unit root tests to examine the st...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2014
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2013.08.030