Results 261 to 270 of about 21,282 (304)

A note on tests of Granger causality

Applied Economics, 1984
(1984). A note on tests of Granger causality. Applied Economics: Vol. 16, No. 3, pp. 335-342.
D. A. Bessler, J. L. Kling
openaire   +1 more source

Granger Causality Test in the Presence of Spillover Effects

Communications in Statistics - Simulation and Computation, 2009
In this article, we investigate the effect of spillover (i.e., causality in variance) on the reliability of Granger causality test based on ordinary least square estimates. We studied eight different versions of the test both, with and without Whites heteroskedasticity consistent covariance matrix (HCCME).
Kristofer Månsson, Ghazi Shukur
openaire   +1 more source

Testing for Granger causality with mixed frequency data

Journal of Econometrics, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ghysels, Eric, Hill, Jonathan B., Motegi, Kaiji   +2 more
openaire   +2 more sources

The effect of spillover on the Granger causality test

Journal of Applied Statistics, 2010
In this paper, we investigate the properties of the Granger causality test in stationary and stable vector autoregressive models under the presence of spillover effects, that is, causality in variance. The Wald test and the WW test (the Wald test with White's proposed heteroskedasticity-consistent covariance matrix estimator imposed) are analyzed.
Panagiotis Mantalos, Ghazi Shukur
openaire   +1 more source

Testing for Granger-causality in quantiles

Econometric Reviews, 2016
ABSTRACTThis paper proposes a consistent parametric test of Granger-causality in quantiles. Although the concept of Granger-causality is defined in terms of the conditional distribution, most articles have tested Granger-causality using conditional mean regression models in which the causal relations are linear. Rather than focusing on a single part of
openaire   +1 more source

Testing for Granger causality in variance in the presence of causality in mean

Economics Letters, 2004
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Pantelidis, Theologos, Pittis, Nikitas
openaire   +1 more source

Testing for Granger Causality in Moments

Oxford Bulletin of Economics and Statistics, 2015
AbstractIn this paper, we consider a generalized approach which is flexibly applicable to testing Granger causality in various moments and in both the full‐sample and out‐of‐sample contexts. We further use this approach to establish a class of cross‐correlation tests for financial time series analysis, and show the advantages of this class of tests in ...
openaire   +1 more source

Granger Causality Testing with Intensive Longitudinal Data

Prevention Science, 2018
The availability of intensive longitudinal data obtained by means of ambulatory assessment opens up new prospects for prevention research in that it allows the derivation of subject-specific dynamic networks of interacting variables by means of vector autoregressive (VAR) modeling.
openaire   +2 more sources

Research output and economic productivity: a Granger causality test

Scientometrics, 2011
The correlation between GDP and research publications is an important issue in scientometrics. This article provides further empirical evidence connecting revealed comparative advantage in national research with effects on economic productivity. Using quantitative time series analysis, this study attempts to determine the nature of causal relationships
Ling-Chu Lee, Pin-Hua Lin, Yun-Wen Chuang, Yi-Yang Lee   +3 more
openaire   +1 more source

On the specification of granger-causality tests using the cointegration methodology

Economics Letters, 1987
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Macdonald, Ronald, Kearney, Colm
openaire   +2 more sources