Results 271 to 280 of about 71,061 (302)

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
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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 ...
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Simple Granger Causality Tests for Mixed Frequency Data

SSRN Electronic Journal, 2015
This paper presents simple Granger causality tests applicable to any mixed frequency sampling data setting, which feature remarkable power properties even with a relatively small sample size. Our tests are based on a seemingly overlooked, but simple, dimension reduction technique for regression models.
Eric Ghysels, Jonathan B. Hill, Kaiji Motegi   +2 more
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Exchange rates and prices: revisiting Granger causality tests

Journal of Post Keynesian Economics, 2007
This paper examines whether causal relationships exist between exchange rates and prices for the United States and its trading partners: Canada, Germany, Japan, and the United Kingdom. Our empirical methods of focus do not impose the controversial purchasing power parity (PPP) assumption, yet we find that imposing PPP via an error correction system ...
Jen-Chi Cheng, Larry Taylor, Wenlong Weng   +2 more
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Modeling Protein-Signaling Networks with Granger Causality Test

2010
The development of computational techniques to identify the gene networks, such as regulatory networks and protein–protein interaction networks, underlying observed gene expression patterns, and protein image data is a major challenge in the analysis of high-throughput data.
Wenqiang Yang, Qiang Luo
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Tourism and Trade: Cointegration and Granger Causality Tests

Journal of Travel Research, 2005
This study uses Singapore data to examine cointegration and causal relationships between trade and tourist arrivals. This was done with respect to ASEAN, the United States, Japan, the United Kingdom, and Australia. We discovered that, contrary to the findings of others done with data from Australia, cointegration between tourism and trade exists but ...
Habibullah Khan, Rex S. Toh, Lyndon Chua
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Transfer Function Modeling and Granger Causality Testing

2012
In this chapter we fit univariate and bivariate time series models in the tradition of Box and Jenkins (1976) and Granger and Newbold (1977) and apply traditional Granger causality testing following the Ashley et al. (1980) methodology. Second, we estimate Vector Autoregressive Models (VAR) and Chen and Lee (1990) Vector ARMA (VARMA) causality test. We
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The Effects of Detrending in Granger Causality Tests

Journal of Business & Economic Statistics, 1985
Nonstationary time series are frequently detrended in empirical investigations by regressing the series on time or a function of time. The effects of the detrending on the tests for causal relationships in the sense of Granger are investigated using quarterly U.S. data.
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Bayes multivariate signification tests and Granger causality [PDF]

, 2011
The Granger causality test is reduced, after co-integration, to the test of the fact that some coefficients of linear regressions are equal to zero or not. In this paper we will build multi-variate Bayes tests for the signification of the parameters of linear regression provided by the above Granger causality, instead of using the classical F statistics ...
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Which Factors Determine CO2 Emissions in China? Trade Openness, Financial Development, Coal Consumption, Economic Growth or Urbanization: Quantile Granger Causality Test

Energies, 2022
Mei-Chih Wang, Tsangyao Chang, Wing-Keung Wong   +2 more
exaly