Sanju, P. S.; Nirmala, P. S.; Ramachandran, M. - In: Applied Financial Economics 21 (2011) 20, pp. 1515-1524
In this study, we address an econometric issue which has so far been neglected by the empirical studies on separation principle. The earlier studies largely applied Granger causality test by differencing the data if they are integrated time series. Such an approach produces specification bias if...