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Geometric and Long Run Aspects of Granger Causality

Al-Sadoon, Majid M. - Barcelona Graduate School of Economics (Barcelona GSE) - 2013

of long run Granger non-causality, (ii) cointegration is a special case of long run Granger non-causality along a …

Persistent link: https://www.econbiz.de/10011166114

Modeling real private consumption expenditure in Bulgaria after the currency board implementation (1997-2005)

Vasilev, Aleksandar - 2015

In this paper, an econometric model of consumption in Bulgaria for the period 1997-2005 is constructed. The Error …-Correction Model (ECM) approach is employed and long-run relationship between household consumption and income was found. The primary … purpose of this empirical paper is to get a better understanding of the factors driving household consumption in Bulgaria and …

Persistent link: https://www.econbiz.de/10011487484

Are Investment and Saving Cointegrated? Evidence from Middle East and North African Countries

Hamdi, Helmi - 2013

North African countries for the period 1980-2008. To this end, we use panel cointegration analysis and Error Correction …

Persistent link: https://www.econbiz.de/10013084409

Testing the twin deficit hypothesis : evidence from the Republic of North Macedonia

Bucevska, Vesna - In: Business systems research : a system view accross … 11 (2020) 3, pp. 45-62

Background An econometric analysis of the twin deficit hypothesis is of special importance for the Republic of North Macedonia in view of its perspective membership in the European Union and from the point of view of its macroeconomic stability in the long run. Objectives The objective of this...

Persistent link: https://www.econbiz.de/10012414405

Comprehensive Time-Series Regression Models Using Gretl — U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013

Shi, Juehui - 2019

models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR …, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time series of GDP and Government Consumption Expenditures & Gross …

Persistent link: https://www.econbiz.de/10012904559

Causality between bank's major activities and economic growth: evidences from Pakistan

Mushtaq, Saba - In: Financial Innovation 2 (2016) 7, pp. 1-11

of this study is to investigate the direction of this relationship. Methods: Johansen test of Co-integration and Granger …

Persistent link: https://www.econbiz.de/10011808212

Evidence for Chaotic Dependence between US Inflation and Commodity Prices

Kyrtsou, Catherine - 2007

inflation and commodity prices using recent methods of linear cointegration, and non-linear Granger causality. The main …

Persistent link: https://www.econbiz.de/10012776655

Persistence in macroeconomic time series: Is it a model invariant property?

Caporale, Guglielmo Maria; Pittis, Nikitas - In: REVISTA DE ECONOMÍA DEL ROSARIO (2001)

This paper argues that persistence is not an invariant feature of a time series, but depends on the context in which the series is used: as the parameters of any dynamic model are defined relative to a particular information set, any change in the set of conditioning variables might affect the...

Persistent link: https://www.econbiz.de/10005262845

How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach

Kehoe, Patrick J. - National Bureau of Economic Research (NBER) - 2006

The common approach to evaluating a model in the structural VAR literature is to compare the impulse responses from structural VARs run on the data to the theoretical impulse responses from the model. The Sims-Cogley-Nason approach instead compares the structural VARs run on the data to...

Persistent link: https://www.econbiz.de/10005774407

Invalid proxies and volatility changes

Angelini, Giovanni; Fanelli, Luca; Neri, Luca - 2024

When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent, nonrecurring breaks that generate target impulse response functions (IRFs) that change across volatility regimes, even strong, exogenous external instruments can result in inconsistent estimates of...

Persistent link: https://www.econbiz.de/10014577214