In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which … is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any … Monte Carlo investigation empirical size and power properties of the new method are illustrated. We compare the bootstrap …

In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which … is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any … Monte Carlo investigation empirical size and power properties of the new method are illustrated. We compare the bootstrap …

In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which … is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any … Monte Carlo investigation empirical size and power properties of the new method are illustrated. We compare the bootstrap …

Purpose – In all existing theoretical papers on causality it is assumed that the lag length is known a priori. However …, in applied research the lag length has to be selected before testing for causality. The purpose of this paper is to … suggest that in investigating the effectiveness of various Granger causality testing methodologies, including those using …

In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which … is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any … Monte Carlo investigation empirical size and power properties of the new method are illustrated. We compare the bootstrap …

and Togo. This investigation is based on Johansen cointegration approach and Granger causality tests. The findings suggest … firstly that these variables are not cointegrated for the countries under study, and the bootstrap simulations of the relation … bidirectional impact between tax rate and budget deficits. Given this bidirectional causality between these variables, variance …

Purpose – In all existing theoretical papers on causality it is assumed that the lag length is known a priori. However …, in applied research the lag length has to be selected before testing for causality. The purpose of this paper is to … suggest that in investigating the effectiveness of various Granger causality testing methodologies, including those using …