Comparing alternative tests of causality in temporal systems. Analytic results and experimental evidence

DOI10.1016/0304-4076(83)90012-XzbMath0504.62105OpenAlexW1499718974MaRDI QIDQ1836262

Richard Meese, Warren T. Dent, John F. Geweke

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1016/0304-4076(83)90012-x

zbMATH Keywords

approximate slopecomparing alternative tests of causality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Related Items (10)

Testing causality using efficiently parametrized vector ARMA models ⋮ Linear and nonlinear causality between signals: methods, examples and neurophysiological applications ⋮ Modelling the causal relationship between energy consumption and GDP in new Zealand, Australia, India, Indonesia, the Philippines and Thailand. ⋮ Dynamic contagion of systemic risks on global main equity markets based on Granger causality networks ⋮ Unit roots and cointegration in estimating causality between exports and economic growth: ⋮ An empirical re-examination of the dividend–investment relation ⋮ Nonlinearity and Endogeneity in Macro-Asset Pricing ⋮ The relative performance of bivariate causality tests in small samples ⋮ An empirical investigation among real, monetary and financial variables ⋮ On Wiener-Granger causality, information and canonical correlation

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• Generalized Least Squares with an Estimated Autocovariance Matrix
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• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Stochastic Comparison of Tests
• Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large

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