Measuring the strength of cointegration and Granger-causality

Arbeitspapier

This paper proposes a methodology that combines the use of Schwarz's BIC in subset autoregression and subset transfer function identification along with the posterior odds ratio test developed by Poskitt & Tremayne (1987) in the context of testing for Granger-causality and cointegration tests. This approach provides a measure for the strength (decisiveness) of causality and cointegration between the variables of interest. As an illustration of our methodology, we reexamine the case of bivariate relationship between money and income in Canada.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: KOF Working Papers ; No. 78

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Business Fluctuations; Cycles
• Subject: Schwarz criterion ; Cointegration ; Granger-causality ; Posterior odds ratio ; Money-Income Causality ; Kointegration ; Kausalanalyse ; Theorie

Contributors, Location and Time

• Event: Geistige Schöpfung
• (who): Atukeren, Erdal
• Event: Veröffentlichung
• (who): ETH Zurich, KOF Swiss Economic Institute
• (where): Zurich
• (when): 2003

Further information

• Handle: http://hdl.handle.net/10419/50872
• Last update: 20.09.2024, 8:21 AM CEST