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A Test for Granger-Causality in a Multivariate ARMA Model

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  • Eberts, R W
  • Steece, B M

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  • Eberts, R W & Steece, B M, 1984. "A Test for Granger-Causality in a Multivariate ARMA Model," Empirical Economics, Springer, vol. 9(1), pages 51-58.
    • Handle: RePEc:spr:empeco:v:9:y:1984:i:1:p:51-58
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    Cited by:

    1. Takada, Hirokazu & Bass, Frank M., 1998. "Multiple Time Series Analysis of Competitive Marketing Behavior," Journal of Business Research, Elsevier, vol. 43(2), pages 97-107, October.
    2. Dufour, Jean-Marie & Tessier, David, 1997. "La causalité entre la monnaie et le revenu : une analyse fondée sur un modèle VARMA-échelon," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 351-366, mars-juin.
    3. Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
    4. Drummond, Paulo, 1993. "Optimum pricing policy, government induced shocks and the dispersion of relative prices in Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 47(4), October.

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