Search Results - subject:"Granger‐causality"

Schätz- und Testverfahren im strukturellen Kointegrationsmodell

Schröer, Gunar - 1998

Persistent link: https://www.econbiz.de/10013434132

Granger Causality Tests in the Presence of Structural Changes

Bianchi, Marco - 1998

Granger causality tests are widely used in applied economics as a way of establishing if a variable has been a leading … indicator of another over the past. However, like most statistical tests, Granger causality tests require that the relationship … that identifies structural breaks in a given data sample. Having identified them, Granger Causality tests are adjusted to …

Persistent link: https://www.econbiz.de/10014064435

Cart before the horse? : The saving-growth nexus in Mexico

Sinha, Dipendra - In: Economics letters 61 (1998) 1, pp. 43-47

Persistent link: https://www.econbiz.de/10015152306

Exogeneity, cointegration, and economic policy analysis

Ericsson, Neil R.; Hendry, David F.; Mizon, Grayham E. - 1998

Persistent link: https://www.econbiz.de/10000669631

Causality Among Sales, Advertising and Prices : New Evidence from a Multivariate Cointegrated System

Ramos, Francisco F.R - 1998

The main purpose of this paper is to discern the dynamic causal relationships (in the Granger (temporal) sense) among sales, advertising and prices in the context of the Portuguese car market. The present research (based on multiple cointegration tests preceded by various unit root or...

Persistent link: https://www.econbiz.de/10014075153

Saving and Economic Growth in Thailand

Sinha, Dipendra - 1998

In this paper, we study the long run relationship between saving and economic growth in Thailand using time series data for 1950-96. We distinguish between private saving and total saving in our paper. We find that there is a long run relationship between per capita GDP and total saving but not...

Persistent link: https://www.econbiz.de/10014208698

Non-linear granger causality in currency futures returns

Asimakopoulos, Ionnis; Ayling, David; Mahmood, Wan Mansor - 1998

Persistent link: https://www.econbiz.de/10001373665

Financial market contagion: evidence from the Asian crisis using a multivariate GARCH approach

Khalid, Ahmed M.; Rajaguru, Gulasekaran - 2007

multivariate GARCH model and apply the Granger causality test to identify inter-linkages among exchange rate markets in selected …

Persistent link: https://www.econbiz.de/10009441578

The global impact of the Russian financial crisis: evidence using granger causality and impulse reponses in a VAR model

Khalid, Ahmed; Rajaguru, Gulasekaran - 2007

This study attempts to investigate the financial market contagion in a global perspective. We use a large sample of 26 countries representing different regions in the world and focus on the spillover effects of the 1998 Russian crisis. We use daily observations on three financial market...

Persistent link: https://www.econbiz.de/10009441618

Another look at the Relationship between Telecommunications Investment and Economic Activity in the United States

Wolde-Rufael, Yemane - In: International Economic Journal 21 (2007) 2, pp. 199-205

findings are robust across lag lengths'. However, using another version of the Granger causality test due to Toda & Yamamoto …

Persistent link: https://www.econbiz.de/10005475622