메뉴 건너뛰기




Volumn 31, Issue 6, 2004, Pages 492-499

Testing for Granger causality between industrial output and CPI in the presence of regime shift: Swedish data

Author keywords

Economic change; Economic forecasting; Parametric measures

Indexed keywords


EID: 23744494228     PISSN: 01443585     EISSN: None     Source Type: Journal    
DOI: 10.1108/01443580410569235     Document Type: Review
Times cited : (20)

References (23)
  • 6
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey, D.A. and Fuller, W.A. (1979), "Distribution of the estimators for autoregressive time series with a unit root", Journal of the American Statistical Association, Vol. 74, pp. 427-31.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-31
    • Dickey, D.A.1    Fuller, W.A.2
  • 7
    • 0000472488 scopus 로고
    • The likelihood ratio statistics for autoregressive time series with a unit root
    • Dickey, D.A. and Fuller, W.A. (1981), "The likelihood ratio statistics for autoregressive time series with a unit root", Econometrica, pp. 1057-72.
    • (1981) Econometrica , pp. 1057-72
    • Dickey, D.A.1    Fuller, W.A.2
  • 8
    • 0000428450 scopus 로고    scopus 로고
    • Making wald tests work for cointegrated VAR systems
    • Dolado, J.J. and Lutkepohl, H. (1996), "Making wald tests work for cointegrated VAR systems", Econometrics Reviews, Vol. 15, pp. 369-86.
    • (1996) Econometrics Reviews , vol.15 , pp. 369-86
    • Dolado, J.J.1    Lutkepohl, H.2
  • 9
    • 0002344794 scopus 로고
    • Bootstrap methods: Another look at the jackknife
    • Efron, B. (1979), "Bootstrap methods: another look at the jackknife", Annals of Statistics, Vol. 7, pp. 1-26.
    • (1979) Annals of Statistics , vol.7 , pp. 1-26
    • Efron, B.1
  • 12
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation and testing
    • Engle, R.F. and Granger, C.W.A. (1987), "Cointegration and error correction: representation, estimation and testing", Econometrica, pp. 251-581.
    • (1987) Econometrica , pp. 251-581
    • Engle, R.F.1    Granger, C.W.A.2
  • 13
    • 0346579162 scopus 로고    scopus 로고
    • Finance and Discussion Paper No. 704, Board of Governors of the Federal Reserve System
    • Gagnon, J.E. and Ihrig, J. (2001), "Monetary policy and exchange rate pass-trough", Finance and Discussion Paper No. 704, Board of Governors of the Federal Reserve System.
    • (2001) Monetary Policy and Exchange Rate Pass-trough
    • Gagnon, J.E.1    Ihrig, J.2
  • 14
    • 0000351727 scopus 로고
    • Investigating causal relations by econometric models an cross-spectral methods
    • Granger, C.W.J. (1969), "Investigating causal relations by econometric models an cross-spectral methods", Econometrica, Vol. 37, pp. 24-36.
    • (1969) Econometrica , vol.37 , pp. 24-36
    • Granger, C.W.J.1
  • 15
    • 0001070399 scopus 로고
    • Bootstrap-based critical values for the information matrix test
    • Horovitz, J.L. (1994), "Bootstrap-based critical values for the information matrix test", Journal of Econometrics, Vol. 61, pp. 395-411.
    • (1994) Journal of Econometrics , vol.61 , pp. 395-411
    • Horovitz, J.L.1
  • 16
    • 0345510809 scopus 로고
    • Statistical analysis of cointegration vectors
    • Johansen, S. (1988), "Statistical analysis of cointegration vectors", Journal of Economic Dynamics and Control, Vol. 12, pp. 231-54.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 231-54
    • Johansen, S.1
  • 17
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models
    • Johansen, S. (1991), "Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models", Econometrica, Vol. 59, pp. 1551-80.
    • (1991) Econometrica , vol.59 , pp. 1551-80
    • Johansen, S.1
  • 18
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inferences on cointegration-with application to the demand for money
    • Johansen, S. and Juselius, K. (1990), "Maximum likelihood estimation and inferences on cointegration-with application to the demand for money", Oxford Bulletin of Economics and Statistics, pp. 169-210.
    • (1990) Oxford Bulletin of Economics and Statistics , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 19
    • 0001014326 scopus 로고    scopus 로고
    • A graphical investigation of the size and power of the granger-causality tests in integrated-cointegrated VAR systems
    • Mantalos, P. (2000), "A graphical investigation of the size and power of the granger-causality tests in integrated-cointegrated VAR systems", Studies on Linear Dynamics & Econometrics, Vol. 4 No. 1.
    • (2000) Studies on Linear Dynamics & Econometrics , vol.4 , Issue.1
    • Mantalos, P.1
  • 20
    • 17444429301 scopus 로고    scopus 로고
    • Size and power of the error correction model cointegration test. A bootstrap approach
    • Mantalos, P. and Shukur, G. (1998), "Size and power of the error correction model cointegration test. A bootstrap approach", Oxford Bulletin of Economics and Statistics, Vol. 60, pp. 249-55.
    • (1998) Oxford Bulletin of Economics and Statistics , vol.60 , pp. 249-55
    • Mantalos, P.1    Shukur, G.2
  • 22
    • 0000444833 scopus 로고    scopus 로고
    • A simple investigation of the Granger causality test in integrated-cointegrated VAR systems
    • Shukur, G. and Mantalos, P. (2000), "A simple investigation of the Granger causality test in integrated-cointegrated VAR systems", Journal of Applied Statistics, Vol. 8, pp. 1021-31.
    • (2000) Journal of Applied Statistics , vol.8 , pp. 1021-31
    • Shukur, G.1    Mantalos, P.2
  • 23
    • 0002433176 scopus 로고    scopus 로고
    • Inflation-target design: Changing inflation performance and persistence in industrial countries
    • Federal Reserve Bank of St Louis
    • Siklos, P.L. (1999), "Inflation-target design: changing inflation performance and persistence in industrial countries", Review, Vol. 81 No. 2, Federal Reserve Bank of St Louis, pp. 47-58.
    • (1999) Review , vol.81 , Issue.2 , pp. 47-58
    • Siklos, P.L.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.