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Testing for granger (non-) causality in a time varying coefficient VAR model
Christopulos, Dēmētrēs K. (contributor);  … - 2008
In this paper we propose Granger (non-)causality tests based on a VAR model allowing for time-varying coefficients. The functional form of the time-varying coefficients is a Logistic Smooth Transition Autoregressive (LSTAR) model using time as the transition variable. The model allows for...
Persistent link: https://www.econbiz.de/10003644229
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Time-series econometrics of growth-models : a guide for applied economists
Bhaskara Rao, Buddhavarapu - In: Applied economics 42 (2010) 1/3, pp. 73-86
Persistent link: https://www.econbiz.de/10003922761
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Testing for Granger (non-)causality in a time-varying coefficient VAR model
Christopulos, Dēmētrēs K.; León-Ledesma, Miguel A. - In: Journal of forecasting 27 (2008) 4, pp. 293-303
Persistent link: https://www.econbiz.de/10003826731
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Time series econometrics and applied economics : a methodological perspective
Bhaskara Rao, Buddhavarapu - In: Indian journal of economics & business : IJEB 5 (2006) 2, pp. 153-169
Persistent link: https://www.econbiz.de/10003391104
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A theoretical and empirical analysis of labor market structures : time-series evidence from OECD countries
Knetsch, Thomas A. - 2002
Persistent link: https://www.econbiz.de/10001659868
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Improvement on the LR test statistic on the cointegrating relations in VAR models : bootstrap methods and applications
Canepa, Alessandra - 2020
Persistent link: https://www.econbiz.de/10012386990
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Vector autoregressions and reality
Runkle, David E. - 1987
Persistent link: https://www.econbiz.de/10000723646
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Structural vector autoregressions : theory of identification and algorithms for inference
Rubio-Ramírez, Juan Francisco (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003768408
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Structural vector autoregressions : theory of identification and algorithms for inference
Rubio-Ramírez, Juan Francisco; Waggoner, Daniel F.; … - In: The review of economic studies 77 (2010) 2, pp. 665-696
Persistent link: https://www.econbiz.de/10003951617
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Forecasting vector autoregressions with Bayesian priors
Bessler, David A.; Kling, John L. - In: American journal of agricultural economics 68 (1986) 1, pp. 144-151
Persistent link: https://www.econbiz.de/10003491368