Search Results - subject:"Granger‐causality"

Feedback, causality and distance between arma models

Triacca, Umberto - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 6, pp. 679-685

stochastic systems, Granger causality and a measure of dissimilarity between ARMA models. In particular, we consider a bivariate … ARMA models implied by the VAR representation is greater than a certain number that is a function of p, then Granger … causality must exist in at least one direction in the variables. …

Persistent link: https://www.econbiz.de/10010748865

Canadian Mutual Fund Flows and Capital Market Movements

Atindéhou, Roger B.; Gueyié, Jean-Pierre - In: Frontiers in Finance and Economics 1 (2004) 2, pp. 70-84

Persistent link: https://www.econbiz.de/10004998278

FDI and Pollution: A Granger Causality Test using Panel Data

Hoffmann, Robert; Ging, Lee Chew; Ramasamy, Bala; … - Business School, University of Nottingham - 2004

This study reports the findings of Granger causality tests on the relationship between FDI and pollution across 112 …

Persistent link: https://www.econbiz.de/10005090613

The Consequences of Systematic Sampling on Granger Causality

Abeysinghe, Tilak; Rajaguru, Gulasekaran - Econometric Society - 2004

where systematic sampling preserves the direction of Granger causality, this paper shows that systematic sampling of …

Persistent link: https://www.econbiz.de/10005063635

A Panel Data Approach for Income-Health Causality

Erdil, Erkan; Yetkiner, I. Hakan - Forschungsstelle Nachhaltige Umweltentwicklung (ZMK), … - 2004

This study provides evidence on income-health causality by employing a large micro panel data set with a VAR representation. The findings verify that dominant type of causality is bidirectional which cast doubt on the performance OLS estimates in the literature. Moreover, one-way causality...

Persistent link: https://www.econbiz.de/10005593127

Is the Consumer Confidence Index a Sound Predictor of the Private Demand in the United States?

LORÍA, EDUARDO; BRITO, L. - In: Estudios de Economía Aplicada 22 (2004) Diciembre, pp. 1-15

-integration and Granger causality tests were applied for 1978:Q1-2003:Q1. Two crucial results were obtained: a) co-integration was not …

Persistent link: https://www.econbiz.de/10005690328

Evidence on the Direction of Causation in the Money-Income Relationship: An Alternative Methodology

Abdulnasser, Hatemi-J; Manuchehr, Irandoust - Handelshögskolan, Örebro Universitet - 2004

In this paper, the evidence reported in the large literature on testing for money-output Granger causality is revisited …

Persistent link: https://www.econbiz.de/10005644787

CAUSAL RELATIONSHIPS BETWEEN EXCHANGE RATES AND STOCK PRICES IN MALAYSIA AND THAILAND DURING THE 1997 CURRENCY CRISIS TURMOIL

Hussain, Huzaimi; Liew, Venus Khim-Sen - EconWPA - 2004

Using Granger (1969), Sim (1972) and Geweke et al. (1982) causality tests, this study finds a feedback causal relationship between exchange rate and stock price in Malaysia, whereas a unidirectional causal relationship running from exchange rate to stock price in Thailand. The stock markets of...

Persistent link: https://www.econbiz.de/10005556595

How Does Systematic Risk Impact Stocks? A Study On the French Financial Market

Hayette, Gatfaoui - EconWPA - 2004

assets’ returns with the return of the implied market factor, and realize as well a VAR study and a Granger causality test …

Persistent link: https://www.econbiz.de/10005561708

Temporal aggregation, causality distortions and a sign rule

Abeysinghe, Tilak; Rajaguru, Gulasekaran - Econometric Society - 2004

Temporally aggregated data is a bane for Granger causality tests. The same set of variables may lead to contradictory … in many situations. Since cointegration is invariant to temporal aggregation and implies Granger causality this paper … practitioners, therefore, may revert to using annual data for Granger causality testing instead of looking for quarterly, monthly or …

Persistent link: https://www.econbiz.de/10005702583