A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems

DOI10.1080/02664760050173346zbMath1016.62108OpenAlexW2053333206MaRDI QIDQ4407101

Ghazi Shukur, Panagiotis Mantalos

Publication date: 20 August 2003

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760050173346

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05)

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Cites Work

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• The spurious effect of unit roots on vector autoregressions. An analytical study
• Inference in Linear Time Series Models with some Unit Roots
• Vector Autoregressions and Causality
• Making wald tests work for cointegrated VAR systems
• Fully Modified Least Squares and Vector Autoregression
• Linear Statistical Inference and its Applications

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