Inference on one-way effect and evidence in Japanese macroeconomic data

DOI10.1016/S0304-4076(99)00084-6zbMath0957.62105MaRDI QIDQ1586548

Yuzo Hosoya, Feng Yao

Publication date: 29 March 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

cointegrationlikelihood ratio statisticWald statisticasymptotic theorymaximum-likelihood estimationVAR modelGranger's non-causalityJapanese macroeconomymeasures of one-way effecttesting causality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Testing for short- and long-run causality: a frequency-domain approach

Cites Work

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