메뉴 건너뛰기




Volumn 37, Issue 14, 2005, Pages 1607-1614

Measuring the strength of cointegration and Granger-causality

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS; INCOME; MEASUREMENT METHOD;

EID: 24344448229     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/00036840500214173     Document Type: Article
Times cited : (7)

References (29)
  • 2
    • 0000681839 scopus 로고
    • Why does money affect output? A survey
    • (Eds) B. M. Friedman and F. H. Hahn, North-Holland, Amsterdam
    • Blanchard, O. J. (1990) Why does money affect output? A survey, in Handbook of Monetary Economics (Eds) B. M. Friedman and F. H. Hahn, North-Holland, Amsterdam.
    • (1990) Handbook of Monetary Economics
    • Blanchard, O.J.1
  • 3
    • 0010997886 scopus 로고
    • Money-income causality - A critical review of the literature since 'A Monetary History'
    • (Ed.) M. D. Bordo, NBER Conference Report Series, University of Chicago Press, Chicago
    • Cagan, P. (1989) Money-income causality - a critical review of the literature since 'A Monetary History', in Money, History, and International Finance: Essays in Honor of Anna J. Schwartz (Ed.) M. D. Bordo, NBER Conference Report Series, University of Chicago Press, Chicago.
    • (1989) Money, History, and International Finance: Essays in Honor of Anna J. Schwartz
    • Cagan, P.1
  • 4
    • 0347611292 scopus 로고    scopus 로고
    • Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
    • Chao, J. C. and Phillips, P. C. B. (1999) Model selection in partially nonstationary vector autoregressive processes with reduced rank structure, Journal of Econometrics, 91, 227-71.
    • (1999) Journal of Econometrics , vol.91 , pp. 227-271
    • Chao, J.C.1    Phillips, P.C.B.2
  • 6
    • 33645621536 scopus 로고    scopus 로고
    • Bayesian and DF-GLS unit root tests of real exchange rates over the current floating period
    • Cushman, D. O. (2001) Bayesian and DF-GLS unit root tests of real exchange rates over the current floating period, Economics Bulletin, 6, 1-7.
    • (2001) Economics Bulletin , vol.6 , pp. 1-7
    • Cushman, D.O.1
  • 7
    • 0040790803 scopus 로고
    • A numerical Bayesian test for cointegration of AR Processes
    • Dorfman, J. H. (1995) A numerical Bayesian test for cointegration of AR Processes, Journal of Econometrics, 66, 289-324.
    • (1995) Journal of Econometrics , vol.66 , pp. 289-324
    • Dorfman, J.H.1
  • 8
    • 0000351727 scopus 로고
    • Investigating causal relationships by econometric models and cross-spectral methods
    • Granger, C. W. J. (1969) Investigating causal relationships by econometric models and cross-spectral methods, Econometrica, 36, 424-38.
    • (1969) Econometrica , vol.36 , pp. 424-438
    • Granger, C.W.J.1
  • 9
    • 84950613755 scopus 로고
    • Autoregressive modeling of Canadian money and income data
    • Hsiao, C. (1979) Autoregressive modeling of Canadian money and income data, Journal of the American Statistical Association, 74, 553-60.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 553-560
    • Hsiao, C.1
  • 10
    • 0038275115 scopus 로고
    • Autoregressive modelling and causal ordering of economic variables
    • Hsiao, C. (1982) Autoregressive modelling and causal ordering of economic variables, Journal of Economic Dynamics and Control, 4, 243-59.
    • (1982) Journal of Economic Dynamics and Control , vol.4 , pp. 243-259
    • Hsiao, C.1
  • 11
    • 0003414592 scopus 로고
    • 3rd edn, Oxford University Press, London
    • Jeffreys, H. (1961) Theory of Probability, 3rd edn, Oxford University Press, London.
    • (1961) Theory of Probability
    • Jeffreys, H.1
  • 13
    • 38249021285 scopus 로고
    • The optimal lag selection and transfer function analysis in Granger-causality tests
    • Kang, H. (1989) The optimal lag selection and transfer function analysis in Granger-causality tests, Journal of Economic Dynamics and Control, 13, 151-69.
    • (1989) Journal of Economic Dynamics and Control , vol.13 , pp. 151-169
    • Kang, H.1
  • 14
    • 84963186178 scopus 로고
    • A causal VARMA model analysis with an application to Canadian money and income data
    • Kim, W. and Ro, K. (1988) A causal VARMA model analysis with an application to Canadian money and income data, Applied Economics, 20, 1167-83.
    • (1988) Applied Economics , vol.20 , pp. 1167-1183
    • Kim, W.1    Ro, K.2
  • 15
    • 0000685408 scopus 로고
    • Non-causality due to omitted variables
    • Lütkepohl, H. (1982) Non-causality due to omitted variables, Journal of Econometrics, 19, 367-78.
    • (1982) Journal of Econometrics , vol.19 , pp. 367-378
    • Lütkepohl, H.1
  • 16
    • 84984431826 scopus 로고
    • Comparison of criteria for estimating the order of a vector autoregressive process
    • Lütkepohl, H. (1985) Comparison of criteria for estimating the order of a vector autoregressive process, Journal of Time Series Analysis, 6, 35-52.
    • (1985) Journal of Time Series Analysis , vol.6 , pp. 35-52
    • Lütkepohl, H.1
  • 17
    • 0027060117 scopus 로고
    • Is the export-led growth hypothesis valid for industrialized countries?
    • Marin, D. (1992) Is the export-led growth hypothesis valid for industrialized countries?, Review of Economics and Statistics, 54, 678-88.
    • (1992) Review of Economics and Statistics , vol.54 , pp. 678-688
    • Marin, D.1
  • 18
    • 0001273705 scopus 로고
    • A comparison of model selection criteria
    • Mills, J. A. and Prasad, K. (1992) A comparison of model selection criteria, Econometric Reviews, 11, 201-33.
    • (1992) Econometric Reviews , vol.11 , pp. 201-233
    • Mills, J.A.1    Prasad, K.2
  • 20
    • 0039305519 scopus 로고
    • Small-sample properties of dimensionality statistics for fitting VAR models to aggregate economic data: A Monte-Carlo study
    • Nickelsburg, G. (1985) Small-sample properties of dimensionality statistics for fitting VAR models to aggregate economic data: a Monte-Carlo study, Journal of Econometrics, 28, 183-92.
    • (1985) Journal of Econometrics , vol.28 , pp. 183-192
    • Nickelsburg, G.1
  • 21
    • 0040450032 scopus 로고
    • Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
    • Penm, J. H. W. and Terrell, R. D. (1984) Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality', Journal of Econometrics, 24, 311-30.
    • (1984) Journal of Econometrics , vol.24 , pp. 311-330
    • Penm, J.H.W.1    Terrell, R.D.2
  • 22
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips, P. C. B. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrika, 75, 335-46.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 23
    • 0030353926 scopus 로고    scopus 로고
    • An asymptotic theory of Bayesian Inference for time series
    • Phillips, P. C. B and Ploberger, W. (1996) An asymptotic theory of Bayesian Inference for time series, Econometrica, 64, 381-412.
    • (1996) Econometrica , vol.64 , pp. 381-412
    • Phillips, P.C.B.1    Ploberger, W.2
  • 24
    • 0010907971 scopus 로고
    • Determining a portfolio of linear time series models
    • Poskitt, D. S. and Tremayne, A. R. (1987) Determining a portfolio of linear time series models, Biometrika, 74, 125-37.
    • (1987) Biometrika , vol.74 , pp. 125-137
    • Poskitt, D.S.1    Tremayne, A.R.2
  • 25
    • 0000120766 scopus 로고
    • Estimating the dimension of a model
    • Schwarz, G. (1978) Estimating the dimension of a model, Annal of Statistics, 6, 461-4.
    • (1978) Annal of Statistics , vol.6 , pp. 461-464
    • Schwarz, G.1
  • 26
    • 0033453039 scopus 로고    scopus 로고
    • Bayesian unit root testing in stochastic volatility models
    • So, M. K. P. and Li, W. K. (1999) Bayesian unit root testing in stochastic volatility models, Journal of Business and Economic Statistics, 17, 491-6.
    • (1999) Journal of Business and Economic Statistics , vol.17 , pp. 491-496
    • So, M.K.P.1    Li, W.K.2
  • 27
    • 0000246372 scopus 로고
    • Interpreting the evidence on money-income causality
    • Stock, J. H. and Watson, M. W. (1989) Interpreting the evidence on money-income causality, Journal of Econometrics, 40, 161-81.
    • (1989) Journal of Econometrics , vol.40 , pp. 161-181
    • Stock, J.H.1    Watson, M.W.2
  • 28
    • 0001757117 scopus 로고
    • Lag-length selection and tests of Granger causality between money and income
    • Thornton, D. L. and Batten, D. S. (1985) Lag-length selection and tests of Granger causality between money and income, Journal of Money Credit and Banking, 17, 164-78.
    • (1985) Journal of Money Credit and Banking , vol.17 , pp. 164-178
    • Thornton, D.L.1    Batten, D.S.2
  • 29
    • 38249030137 scopus 로고
    • Statistical model selection criteria
    • Yi, G. and Judge, G. (1988) Statistical model selection criteria, Economics Letters, 28, 47-51.
    • (1988) Economics Letters , vol.28 , pp. 47-51
    • Yi, G.1    Judge, G.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.