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Causality Analysis and Multivariate Autoregressive Modelling with an Application to Supermarket Sales Analysis

Caines, Peter - 2014

This paper describes a modelling methodology for multivariate stochastic processes. The concept of multiple causality is discussed and a procedure to detect multiple causality is suggested. The data of a major Canadian supermarket is analyzed and a multivariate autoregressive model for this...

Persistent link: https://www.econbiz.de/10012751654

Panel Cointegration Testing in the Presence of Linear Time Trends

Hassler, Uwe - 2014

We consider a class of panel tests covering tests for the null hypothesis of no cointegration as well as cointegration …

Persistent link: https://www.econbiz.de/10013043027

Did US consumers 'save for a rainy day' before the Great Recession?

Anundsen, André Kallåk; Nymoen, Ragnar - 2015

the period 1980q1-2011q4. That is, income is more often found to predict consumption and saving than the converse. Our … consumption and by exploring the direction of Granger causality between the two series. We also give evidence that house price … changes played a role in the US income and consumption dynamics, before, during and after the Great Recession. …

Persistent link: https://www.econbiz.de/10010518800

Did US consumers 'save for a rainy day' before the Great Recession?

Anundsen, André Kallåk; Nymore, Ragnar - 2015 - This version May 8, 2015

Persistent link: https://www.econbiz.de/10010530531

How Do Expectations About the Macroeconomy Affect Personal Expectations and Behavior?

Roth, Christopher - 2018

response to the forecasts, extrapolate to expectations about their personal economic circumstances and adjust their consumption …

Persistent link: https://www.econbiz.de/10012911043

How Do Expectations about the Macroeconomy Affect Personal Expectations and Behavior?

Roth, Christopher - 2019

to the forecasts, extrapolate to expectations about their personal economic circumstances and adjust their consumption …

Persistent link: https://www.econbiz.de/10012901403

Selected macroeconomic variables and stock market movements : empirical evidence from Thailand

Forson, Joseph Ato; Janrattanagul, Jakkaphong - In: Contemporary economics 8 (2014) 2, pp. 157-174

This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...

Persistent link: https://www.econbiz.de/10010406272

A multivariate causality analysis of export and growth for Turkey

Halicioglu, Ferda - 2008

testing approach to cointegration is employed to test the causal relationship between industrial production, exports and terms …

Persistent link: https://www.econbiz.de/10011523113

Pitfalls when estimating treatment effects using clustered data

MacKinnon, James G.; Webb, Matthew - 2017

Inference for estimates of treatment effects with clustered data requires great care when treatment is assigned at the group level. This is true for both pure treatment models and difference-in-differences regressions. Even when the number of clusters is quite large, cluster-robust standard...

Persistent link: https://www.econbiz.de/10011722291

Revisiting the great ratios hypothesis

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2022

little evidence for them. We argue that this outcome could be due to episodic failure of cointegration, possible two …

Persistent link: https://www.econbiz.de/10013041372