Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship
Year of publication: |
2004-07
|
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Authors: | Hill, Jonathan B. |
Institutions: | Department of Economics, Florida International University |
Subject: | multiple horizon causality | Wald tests | parametric bootstrap | money-income causality | rolling windows | cointegration |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 0413 51 pages |
Classification: | C12 - Hypothesis Testing ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E47 - Forecasting and Simulation |
Source: |
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Hill, Jonathan B., (2004)
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Short Run and Long Run Causality in Time Series: Inference
Dufour, Jean-Marie, (2003)
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Short and long run causality measures: theory and inference
Dufour, Jean-Marie, (2008)
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LM-Tests for Linearity Against Smooth Transition Alternatives: A Bootstrap Simulation Study
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