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Autoregressive modeling and causal ordering of economic variables

Citations

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Cited by:

  1. Erdal Atukeren & Emrah İ. Çevik & Turhan Korkmaz, 2015. "Downside business confidence spillovers in Europe: evidence from causality-in-risk tests," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 18(4), pages 341-357, October.
  2. Thomas Gries & Tim Krieger & Daniel Meierrieks, 2011. "Causal Linkages Between Domestic Terrorism and Economic Growth," Defence and Peace Economics, Taylor & Francis Journals, vol. 22(5), pages 493-508, June.
  3. Binder, Michael & Hsiao, Cheng & Pesaran, M. Hashem, 2005. "Estimation And Inference In Short Panel Vector Autoregressions With Unit Roots And Cointegration," Econometric Theory, Cambridge University Press, vol. 21(4), pages 795-837, August.
  4. Choi, In & Park, Daekeun, 2008. "Causal relation between interest and exchange rates in the Asian currency crisis," Japan and the World Economy, Elsevier, vol. 20(3), pages 435-452, August.
  5. Rohin Anhal, 2013. "Causality between GDP, Energy and Coal Consumption in India, 1970-2011: A Non-parametric Bootstrap Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 3(4), pages 434-446.
  6. Ghassan, Hassan B. & ElHafidi, Miloud, 1999. "Tests de G-causalité et spécification d’un modèle économétrique: Application sur un panel sectoriel marocain [G-causality tests and specification of an econometric model: Evidence form Sectoral Mor," MPRA Paper 56433, University Library of Munich, Germany, revised 13 Jan 2000.
  7. Al-Sadoon, Majid M., 2014. "Geometric and long run aspects of Granger causality," Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
  8. Gyula Dörgő & Viktor Sebestyén & János Abonyi, 2018. "Evaluating the Interconnectedness of the Sustainable Development Goals Based on the Causality Analysis of Sustainability Indicators," Sustainability, MDPI, vol. 10(10), pages 1-26, October.
  9. Saten Kumar & Don J. Webber & Geoff Perry, 2012. "Real wages, inflation and labour productivity in Australia," Applied Economics, Taylor & Francis Journals, vol. 44(23), pages 2945-2954, August.
  10. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
  11. 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).
  12. Knill, April & Lee, Bong-Soo & Mauck, Nathan, 2012. "Bilateral political relations and sovereign wealth fund investment," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 108-123.
  13. Dajčman Silvo, 2020. "Economic policy and confidence of economic agents – a causal relationship?," Review of Economic Perspectives, Sciendo, vol. 20(4), pages 471-484, December.
  14. Thomas Gries & Manfred Kraft & Daniel Meierrieks, 2011. "Financial deepening, trade openness and economic growth in Latin America and the Caribbean," Applied Economics, Taylor & Francis Journals, vol. 43(30), pages 4729-4739.
  15. Gries, Thomas & Kraft, Manfred & Meierrieks, Daniel, 2009. "Linkages Between Financial Deepening, Trade Openness, and Economic Development: Causality Evidence from Sub-Saharan Africa," World Development, Elsevier, vol. 37(12), pages 1849-1860, December.
  16. Knill, April M. & Lee, Bong Soo & Ang, James, 2021. "Leveling of the playing field and corporate financing patterns around the world," Global Finance Journal, Elsevier, vol. 47(C).
  17. Erdal Atukeren, 2010. "The relationship between the F-test and the Schwarz criterion: Implications for Granger-causality tests," Economics Bulletin, AccessEcon, vol. 30(1), pages 494-499.
  18. Anna Zaremba & Tomaso Aste, 2014. "Measures of Causality in Complex Datasets with application to financial data," Papers 1401.1457, arXiv.org, revised Jun 2014.
  19. Ernst A. Boehm & Vance L. Martin, 1989. "An Investigation into the Major Causes 01 Australia's Recent Inflation and Some Policy Implications," The Economic Record, The Economic Society of Australia, vol. 65(1), pages 1-15, March.
  20. Cleiton Guollo Taufemback, 2023. "Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(1), pages 69-92, January.
  21. Ahmad Baharumshah & Evan Lau & Ahmed Khalid, 2006. "Testing Twin Deficits Hypothesis using VARs and Variance Decomposition," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 11(3), pages 331-354.
  22. Franch, Fabio & Nocciola, Luca & Vouldis, Angelos, 2024. "Temporal networks and financial contagion," Journal of Financial Stability, Elsevier, vol. 71(C).
  23. Manfred Kremer, 2016. "Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area," International Economics and Economic Policy, Springer, vol. 13(1), pages 105-138, January.
  24. repec:ebl:ecbull:v:15:y:2005:i:19:p:1-10 is not listed on IDEAS
  25. Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2011. "Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 275-287, October.
  26. Bailey, DeeVon & Brorsen, B. Wade, 1985. "Dynamics Of Regional Fed Cattle Prices," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 10(1), pages 1-8, July.
  27. Apergis, Nicholas & Bouras, Christos & Christou, Christina & Hassapis, Christis, 2018. "Multi-horizon wealth effects across the G7 economies," Economic Modelling, Elsevier, vol. 72(C), pages 165-176.
  28. Al-Sadoon, Majid M., 2019. "Testing subspace Granger causality," Econometrics and Statistics, Elsevier, vol. 9(C), pages 42-61.
  29. Jean-Claude Maswana, 2005. "Assessing the Money, Exchange Rate, Price Links during Hyperinflationary Episodes in the Democratic Republic of the Congo," Economics Bulletin, AccessEcon, vol. 15(19), pages 1-10.
  30. Rosser, J. Jr. & Sheehan, Richard G., 1995. "A vector autoregressive model of the Saudi Arabian economy," Journal of Economics and Business, Elsevier, vol. 47(1), pages 79-90, February.
  31. ATUKEREN Erdal, 2010. "Oil Prices and the Swiss Economy," EcoMod2003 330700006, EcoMod.
  32. Erdal Atukeren, 2005. "R&D Races and Spillovers between the EU and the US: Some Causal Evidence," KOF Working papers 05-105, KOF Swiss Economic Institute, ETH Zurich.
  33. Jean-Marie Dufour & Endong Wang, 2024. "Simple robust two-stage estimation and inference for generalized impulse responses and multi-horizon causality," Papers 2409.10820, arXiv.org.
  34. repec:wyi:journl:002139 is not listed on IDEAS
  35. Tihana Skrinjaric, 2022. "Macroeconomic effects of systemic stress: a rolling spillover index approach," Public Sector Economics, Institute of Public Finance, vol. 46(1), pages 109-140.
  36. T.J. Brailsford & J. H.W. Penm & R.D. Terrell, 2006. "The Equivalence of Causality Detection in VAR and VECM Modeling with Applications to Exchange Rates," Multinational Finance Journal, Multinational Finance Journal, vol. 10(3-4), pages 153-178, September.
  37. Akash Malhotra, 2021. "A hybrid econometric–machine learning approach for relative importance analysis: prioritizing food policy," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 549-581, September.
  38. Judith A. Giles, 2000. "Testing for Two-Step Granger Noncausality in Trivariate VAR Models," Econometrics Working Papers 0008, Department of Economics, University of Victoria.
  39. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Short and long run causality measures: Theory and inference," Journal of Econometrics, Elsevier, vol. 154(1), pages 42-58, January.
  40. Cook, Steven, 2007. "On the relationship between mergers and economic activity: Evidence from an optimised hybrid method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(2), pages 628-634.
  41. Jochen Hartwig, 2009. "A panel Granger-causality test of endogenous vs. exogenous growth," KOF Working papers 09-231, KOF Swiss Economic Institute, ETH Zurich.
  42. Xiao Ke & Cheng Hsiao, 2022. "Economic impact of the most drastic lockdown during COVID‐19 pandemic—The experience of Hubei, China," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 187-209, January.
  43. Zhang, Wei & Yang, Shuyun, 2013. "The influence of energy consumption of China on its real GDP from aggregated and disaggregated viewpoints," Energy Policy, Elsevier, vol. 57(C), pages 76-81.
  44. Robert E. Krider & Tieshan Li & Yong Liu & Charles B. Weinberg, 2005. "The Lead-Lag Puzzle of Demand and Distribution: A Graphical Method Applied to Movies," Marketing Science, INFORMS, vol. 24(4), pages 635-645, April.
  45. Mehmet Serkan Tosun & Sohrab Abizadeh, 2005. "Economic growth and tax components: an analysis of tax changes in OECD," Applied Economics, Taylor & Francis Journals, vol. 37(19), pages 2251-2263.
  46. Alam Khan & Mario Estrada & Zarinah Yusof, 2016. "How terrorism affects the economic performance? The case of Pakistan," Quality & Quantity: International Journal of Methodology, Springer, vol. 50(2), pages 867-883, March.
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