Short and long run causality measures: theory and inference

DOI10.1016/j.jeconom.2009.06.008zbMath1431.62364OpenAlexW1746116433MaRDI QIDQ2630148

Abderrahim Taamouti, Jean-Marie Dufour

Publication date: 25 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.06.008

zbMATH Keywords

bootstrapMonte Carlotime seriesinflationVARinterest ratesautoregressive modelmacroeconomicsGranger causalitypredictabilitymoneyoutputvector autoregressionindirect causalitycausality measuremultiple horizon causality

Mathematics Subject Classification ID

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

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