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Causality analysis and multivariate Autoregressive modelling with an application to supermarket sales analysis

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Cited by:

  1. Hsieh, Nigel C. T. & Lin, Antsong & Swanson, Peggy E., 1999. "Global money market interrelationships," International Review of Economics & Finance, Elsevier, vol. 8(1), pages 71-85, January.
  2. Chung-Shu Wu & Sheng-Cheng Hu, 2000. "Interest Rates, Credit Rationing, and Banking Deregulation in Taiwan," NBER Chapters, in: Deregulation and Interdependence in the Asia-Pacific Region, pages 255-276, National Bureau of Economic Research, Inc.
  3. Ribeiro Ramos, Francisco Fernando, 2003. "Forecasts of market shares from VAR and BVAR models: a comparison of their accuracy," International Journal of Forecasting, Elsevier, vol. 19(1), pages 95-110.
  4. Kaylen, Michael S., 1986. "Vector Autoregression Forecasting Models: Suggested Improvements," 1986 Annual Meeting, July 27-30, Reno, Nevada 278167, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  5. Benjamin Cheng, 1999. "Cointegration and causality between fertility and female labor participation in Taiwan: A multivariate approach," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 27(4), pages 422-434, December.
  6. Y. Dronne & C. Tavéra, 1989. "Relations dynamiques entre les prix des principaux composants de l'alimentation animale," Cahiers d'Economie et Sociologie Rurales, INRA Department of Economics, vol. 11, pages 5-22.
  7. Langley, Suchada Vichitakul, 1982. "The formation of price expectations: a case study of the soybean market," ISU General Staff Papers 198201010800009358, Iowa State University, Department of Economics.
  8. Augustine C. Arize, 1993. "Determinants of Income Velocity in the United Kingdom: Multivariate Granger Causality," The American Economist, Sage Publications, vol. 37(2), pages 40-45, October.
  9. Tim Brailsford & Jack H.W. Penm & R. Deane Terrell, 2001. "The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market," Multinational Finance Journal, Multinational Finance Journal, vol. 5(1), pages 35-58, March.
  10. Yves Dronne & Christophe Tavéra, 1988. "Relations dynamiques entre les prix des principaux produits composant le complexe oleo-proteagineux de la CEE. Analyse des causalites en information complete," Working Papers hal-01937058, HAL.
  11. Erenburg, S. J. & Wohar, Mark E., 1995. "Public and private investment: Are there causal linkages?," Journal of Macroeconomics, Elsevier, vol. 17(1), pages 1-30.
  12. Darrat, Ali F. & Mukherjee, Tarun K., 1995. "Inter-industry differences and the impact of operating and financial leverages on equity risk," Review of Financial Economics, Elsevier, vol. 4(2), pages 141-155.
  13. Chakraborty, Lekha, 2012. "Determination of Interest Rate in India: Empirical Evidence on Fiscal Deficit-Interest Links and Financial Crowding Out," Working Papers 12/110, National Institute of Public Finance and Policy.
  14. Mark Wheeler, 1991. "Causality in the United Kingdom: Results from an Open Economy," Eastern Economic Journal, Eastern Economic Association, vol. 17(4), pages 439-449, Oct-Dec.
  15. Mohammad Hasan, 2008. "Stock returns, inflation and interest rates in the United Kingdom," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 687-699.
  16. Theodosios B. Palaskas, 1995. "Statistical Analysis Of Price Transmission In The European Union," Journal of Agricultural Economics, Wiley Blackwell, vol. 46(1), pages 61-69, January.
  17. Cheng, Benjamin S., 1999. "Beyond the purchasing power parity: testing for cointegration and causality between exchange rates, prices, and interest rates," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 911-924, December.
  18. Materassi, Donatello & Innocenti, Giacomo, 2009. "Unveiling the connectivity structure of financial networks via high-frequency analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3866-3878.
  19. Francisco F. R. Ramos, 1996. "Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance," Econometrics 9601003, University Library of Munich, Germany.
  20. Lin, Antsong & Swanson, Peggy E., 1997. "The U.S. dollar in global money markets: A multivariate cointegration analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(1), pages 139-150.
  21. Keuk-Soo Kim & W. Douglas McMillin, 2003. "Estimating the effects of monetary policy shocks: does lag structure matter?," Applied Economics, Taylor & Francis Journals, vol. 35(13), pages 1515-1526.
  22. John D. Abell, 1988. "Unanticipated Deficits and Interest Rates," The American Economist, Sage Publications, vol. 32(2), pages 11-19, October.
  23. Chakraborty, Lekha S., 2006. "Fiscal deficit, capital formation, and crowding out: Evidence from India," Working Papers 06/43, National Institute of Public Finance and Policy.
  24. Benjamin S. Cheng & Ashagre Yigletu, 2000. "Causality Between Taxes and Expenditures in the U.S.: A Multivariate Approach," New York Economic Review, New York State Economics Association (NYSEA), vol. 31(1), pages 15-26.
  25. W. Jos Jansen, 1998. "The mean-variance model with capital controls and expectations formation. A test on German portfolio data," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 333-346.
  26. W. Douglas McMillin & Keuk-Soo Kim, 2001. "Symmetric versus Asymmetric Lag Structures in Vector Autoregressive Models: A Monte Carlo Analysis with an Application to Estimating the Effects of Monetary Policy Shocks," Departmental Working Papers 2001-01, Department of Economics, Louisiana State University.
  27. Aurangzeb, 2003. "Trade, Investment and Growth Nexus in Pakistan: An Application of Cointegration and Multivariate Causality Test," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 8(1), pages 119-137, Jan-June.
  28. A. Aurangzeb & Thanasis Stengos & Asif U. Mohammad, 2005. "Short-Run and Long-Run Effects of Exchange Rate Volatility on the Volume of Exports: A Case Study for Pakistan," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 4(3), pages 209-222, December.
  29. Yves Dronne & Christophe Tavéra, 1988. "Dynamic relationships between world prices of cakes, corn-gluten-feed and cassava," Working Papers hal-01937039, HAL.
  30. Graeme Wells & Lewis Evans, 1985. "The Impact of Traded Goods Prices on the New Zealand Economy," The Economic Record, The Economic Society of Australia, vol. 61(1), pages 421-435, March.
  31. Camacho, Maximo & Romeu, Andres & Ruiz-Marin, Manuel, 2021. "Symbolic transfer entropy test for causality in longitudinal data," Economic Modelling, Elsevier, vol. 94(C), pages 649-661.
  32. Michael A. Conte & Ali F. Darrat, 1993. "Testing Alternative Views Of Government Budgeting," Review of Financial Economics, John Wiley & Sons, vol. 3(1), pages 19-40, September.
  33. James E. Payne, 2003. "A Survey of the International Empirical Evidence on the Tax-Spend Debate," Public Finance Review, , vol. 31(3), pages 302-324, May.
  34. Basil Dalamagas, 2000. "Public sector and economic growth: the Greek experience," Applied Economics, Taylor & Francis Journals, vol. 32(3), pages 277-288.
  35. Darrat, Ali F & Glascock, John L, 1993. "On the Real Estate Market Efficiency," The Journal of Real Estate Finance and Economics, Springer, vol. 7(1), pages 55-72, July.
  36. Ali Darrat & Ross Dickens & Osamah Al-Khazali, 2006. "Interactions between mortgage and other capital markets in the USA: has financial deregulation made a difference?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 335-345.
  37. Aurangzeb, 2003. "Relationship between Health Expenditure and GDP in an Augmented Solow Growth Model for Pakistan: An Application of Co-integration and Error-Correction Modeling," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 8(2), pages 1-16, Jul-Dec.
  38. Ali F. Darrat & Marc C. Chopin & Ross N. Dickens, 2001. "The Dollar and U.S. Inflation: Some Evidence from a Vecm Process," The American Economist, Sage Publications, vol. 45(2), pages 3-12, October.
  39. Lekha S. Chakraborty, 2012. "Interest Rate Determination in India: Empirical Evidence on Fiscal Deficit--Interest Rate Linkages and Financial Crowding Out," Economics Working Paper Archive wp_744, Levy Economics Institute.
  40. Faiza Umer & Shaista Alam, 2015. "Trade Openness, Size of Economy and the Saving–Investment Relationship: A Dynamic Analysis for Pakistan," South Asian Journal of Macroeconomics and Public Finance, , vol. 4(2), pages 233-257, December.
  41. Claude Deniau & Georges Fiori & Alexandre Mathis, 1992. "Sélection du nombre de retards dans un modèle VAR : conséquences éventuelles du choix des critères," Économie et Prévision, Programme National Persée, vol. 106(5), pages 61-69.
  42. Ali F. Darrat & Tarun K. Mukherjee, 1995. "Inter‐industry differences and the impact of operating and financial leverages on equity risk," Review of Financial Economics, John Wiley & Sons, vol. 4(2), pages 141-155, March.
  43. Ali F. Darrat & Karin P. LaBarge & Richard A. LaBarge, 1989. "Is Financial Deepening a Reliable Prescription for Economic Growth?," The American Economist, Sage Publications, vol. 33(2), pages 25-33, October.
  44. Suresh P. Sethi & Sushil Gupta & Vipin K. Agrawal & Vijay K. Agrawal, 2022. "Nobel laureates’ contributions to and impacts on operations management," Production and Operations Management, Production and Operations Management Society, vol. 31(12), pages 4283-4303, December.
  45. Ali F. Darrat & Bill P. Bowers, 1996. "On the U.S. Budget Deficit Dilemma: Has Television Contributed?," The American Economist, Sage Publications, vol. 40(2), pages 77-85, October.
  46. Knot, Klaas & de Haan, Jakob, 1995. "Interest rate differentials and exchange rate policies in Austria, The Netherlands, and Belgium," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 363-386, May.
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