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Estimating Geweke’s (1982) measure of instantaneous feedback

Author

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  • Mehmet F. Dicle

    (Loyola University New Orleans)

  • John Levendis

    (Loyola University New Orleans)

Abstract

In this article, we describe the gwke82 command, which implements a measure of instantaneous feedback for two time series following Geweke (1982, Journal of the American Statistical Association 77: 304–313). Copyright 2013 by StataCorp LP.

Suggested Citation

  • Mehmet F. Dicle & John Levendis, 2013. "Estimating Geweke’s (1982) measure of instantaneous feedback," Stata Journal, StataCorp LP, vol. 13(1), pages 136-140, March.
    • Handle: RePEc:tsj:stataj:v:13:y:2013:i:1:p:136-140
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    References listed on IDEAS

    as
    1. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
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    Cited by:

    1. Balli, Faruk & Basher, Syed Abul & Rana, Faisal, 2014. "The determinants of the volatility of returns on cross-border asset holdings," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 1-23.

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