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A homogeneous approach to testing for granger non-causality in heterogeneous panels

Juodis, Artūras; Karavias, Yiannis; Sarafidis, Vasilis - 2020

Persistent link: https://www.econbiz.de/10012610528

Can you do the wrong thing and still be right? : hypothesis testing in I(2) and near-I(2) cointegrated VARs

Di Iorio, Francesca; Fachin, Stefano; Lucchetti, Riccardo - 2013

Persistent link: https://www.econbiz.de/10011771326

Can you do the wrong thing and still be right? : hypothesis testing in I(2) and near-I(2) cointegrated VARs

Di Iorio, Francesca; Fachin, Stefano; Lucchetti, Riccardo - In: Applied economics 48 (2016) 37/39, pp. 3665-3678

Persistent link: https://www.econbiz.de/10011621158

A homogeneous approach to testing for Granger non-causality in heterogeneous panels

Juodis, Artūras; Karavias, Yiannis; Sarafidis, Vasilis - In: Empirical economics : a quarterly journal of the … 60 (2021) 1, pp. 93-112

Persistent link: https://www.econbiz.de/10012488894

Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations

Kurita, Takamitsu; Shintani, Mototsugu - 2023

Persistent link: https://www.econbiz.de/10014383879

Granger causality testing in high-dimensional VARs : a post-double-selection procedure

Hecq, Alain W. J.; Margaritella, Luca; Smeekes, Stephan - In: Journal of financial econometrics 21 (2023) 3, pp. 915-958

Persistent link: https://www.econbiz.de/10014314841

Econometric analysis of high dimensional VARs featuring a dominant unit

Pesaran, M. Hashem; Chudik, Alexander - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...