In this paper, the authors propose a simple procedure for testing the existence of common roots in lag polynomials. They first show, by using a generalized Bezout property, that this hypothesis can be put under a "mixed" form that is linear with respect to the auxiliary parameters and with...

Causality in Granger's sense is defined in terms of predictibility one period ahead. The notion of causality is generalized by considering causality at any given horizon 1 = h = inifinity, providing a rigorous formalization of indirect causal effects and causality chains in (possibly)...

Methods of indirect, simulation-based inference for nested and nonnested hypotheses are developed. The methods make use of instrumental models and are applicable in cases where likelihood-based inference is numerically unfeasible. The asymptotic normality of an indirect Wald vector is shown and...