Short and long run causality measures: theory and inference
Year of publication: |
2008-07
|
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Authors: | Dufour, Jean-Marie ; Taamouti, Abderrahim |
Institutions: | Departamento de EconomÃa, Universidad Carlos III de Madrid |
Subject: | Time series | Granger causality | Indirect causality | Multiple horizon causality | Causality measure | Predictability | Autoregressive model | Vector autoregression | VAR | Bootstrap | Monte Carlo | Macroeconomics | Money | Interest rates | Output | Inflation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C1 - Econometric and Statistical Methods: General ; C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; E3 - Prices, Business Fluctuations, and Cycles ; E4 - Money and Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) |
Source: |
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Short Run and Long Run Causality in Time Series: Inference
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Short Run and Long Run Causality in Time Series : Inference
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Dufour, Jean-Marie, (2008)
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