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Vector autoregressions (VARs) are economically interpretable only when identified by being transformed into a structural form (the SVAR) in which the contemporaneous variables stand in a well-defined causal order. These identifying transformations are not unique. It is widely believed that...
Persistent link: https://www.econbiz.de/10008620372
Graph-theoretic methods of causal search based in the ideas of Pearl (2000), Spirtes, Glymour, and Scheines (2000), and others have been applied by a number of researchers to economic data, particularly by Swanson and Granger (1997) to the problem of finding a data-based contemporaneous causal...
Persistent link: https://www.econbiz.de/10008620478
market is efficient. Finally, tests of causality between the future market and the cash market on daily data shows strong … instantaneous correlation between them. Concerning delayed causality, the future market have played a leader role during the period …
Persistent link: https://www.econbiz.de/10008566305
evidence in favor of short run causality between the two series. …
Persistent link: https://www.econbiz.de/10008570611
the causality test suggested by Toda and Yamamoto (1995) and the generalized forecast error variance decomposition method … of Pesaran and Shin (1998). Our findings suggest weak causality that runs usually from Israel’s to Arab’s military … spending. The strongest links are between Israel and Syria that are still in a state of enmity. No causality was detected …
Persistent link: https://www.econbiz.de/10008577376
Persistent link: https://www.econbiz.de/10008577713
Die Frage nach der Kausalität fällt in die Methodologie. Methodologie ist in den Wirtschaftswissenschaften ein Bereich, der sowohl bei Ökonomen als auch bei Philosophen kaum Beachtung findet. Ökonomik hat sich ursprünglich als eine kausal erklärende Wissenschaft verstanden. Sie wollte für...
Persistent link: https://www.econbiz.de/10008577824
Persistent link: https://www.econbiz.de/10008578053
-linear dependence, especially when one of the variables is an index with limited variation, we propose a causality dominance test to …
Persistent link: https://www.econbiz.de/10008578150
bivariate model also indicates bidirectional causality, the multivariate models confirm only a unidirectional causality – from …
Persistent link: https://www.econbiz.de/10009145042