Similar Search Results

A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models

Triacca, Umberto - In: Econometrics 3 (2015) 2, pp. 233-239

It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that...

Persistent link: https://www.econbiz.de/10011249490

Disaggregated Energy Consumption and Economic Growth in Ghana

Kwakwa, Paul Adjei - In: International Journal of Energy Economics and Policy 2 (2012) 1, pp. 34-40

This study has examined the causality between disaggregated energy consumption (electricity and fossil consumption) and … overall growth, agricultural and manufacturing growth in Ghana’s economy over the period 1971-2007. By employing the Augmented … growth to electricity and fossil consumption; a unidirectional causality from agriculture to electricity consumption both in …

Persistent link: https://www.econbiz.de/10009391459

Foreign Direct Investment and Economic Activity in India

Dua, Pami; Rashid, Aneesa I. - Centre for Development Economics, Delhi School of Economics - 1999

This paper examines the relationship between foreign direct investment and economic activity in India in the post liberalisation period. Foreign direct investment is measured both by the amount approved as well as the actual flows. Economic activity is measured by the index of industrial...

Persistent link: https://www.econbiz.de/10005770861

Effect of speculators' position changes on the LME futures market

Park, Jaehwan - In: International Journal of Financial Studies : open … 7 (2019) 2/32, pp. 1-9

This paper employs Granger causality tests to analyze the role of speculators using weekly COTR (commitment of traders reports) data covering the period of August 2014 to July 2017. The paper presents statistically significant evidence that the position changes of speculators, such as hedge...

Persistent link: https://www.econbiz.de/10012038588

Health condition and job status interactions : econometric evidence of causality from a French longitudinal survey

Delattre, Eric; Moussa, Richard K.; Sabatier, Mareva - In: Health economics review 9 (2019) 3, pp. 1-18

This article investigates the causal links between health and employment status. To disentangle correlation from causality effects, the authors leverage a French panel survey to estimate a bivariate dynamic probit model that can account for the persistence effect, initial conditions, and...

Persistent link: https://www.econbiz.de/10011982850

Corporate governance and financial performance nexus : any bidirectional causality?

Alley, Ibrahim S.; Adebayo, Abimbola L.; Oligbi, Blessing O. - In: International journal of management and economics 50 (2016) 1, pp. 82-99

Most studies on corporate governance recognize endogeneity in the nexus between corporate governance and financial performance. Little attention has, however, been paid to the direction of causality between the two phenomena, and hence the Vector Error Correction (VEC) model, which allows for...

Persistent link: https://www.econbiz.de/10012026154

Policy evaluation using causal inference methods

Fougère, Denis; Jacquemet, Nicolas - 2020

This chapter describes the main impact evaluation methods, both experimental and quasi-experimental, and the statistical model underlying them. Some of the most important methodological advances to have recently been put forward in this field of research are presented. We focus not only on the...

Persistent link: https://www.econbiz.de/10012162836

Identification and estimation of distributional impacts of interventions using changes in inequality measures

Firpo, Sérgio Pinheiro - 2010

This paper presents semiparametric estimators of distributional impacts of interventions (treatment) when selection to the program is based on observable characteristics. Distributional impacts of a treatment are calculated as differences in inequality measures of the potential outcomes of...

Persistent link: https://www.econbiz.de/10003944723

Testing for a set of linear restrictions in VARMA models using autoregressive metric : an application to Granger causality test

Di Iorio, Francesca; Triacca, Umberto - In: Econometrics : open access journal 2 (2014) 4, pp. 203-216

In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...

Persistent link: https://www.econbiz.de/10010479050

Cointegration and Causality Among Exchange Rate, Export, and Import : Empirical Evidence from Turkey

Sekmen, Fuat - 2008

This paper examines the cointegration and causality among exchange rate, export, and import for Turkey during the period of 1998-2006. The econometrics results show that there is a cointegration between exports and import, but direction of causality is bi-directional between these two variables....

Persistent link: https://www.econbiz.de/10012768363