Testing for granger (non-)causality in a time-varying coefficient VAR model

Journal of Forecasting

Volumn 27, Issue 4, 2008, Pages 293-303

  Christopoulos, Dimitris K ^a   León Ledesma, Miguel A ^b  

^a PANTEION UNIVERSITY   (Greece)

^b UNIVERSITY OF KENT   (United Kingdom)

Author keywords

Granger causality; LSTAR models; Time varying coefficients

Indexed keywords

CAUSALITY TEST; FORECASTING PERFORMANCE; FUNCTIONAL FORMS; GRANGER CAUSALITY; LOGISTIC SMOOTH TRANSITION AUTOREGRESSIVE MODEL; SMOOTH TRANSITION AUTOREGRESSIVE MODELS; TIME-VARYING COEFFICIENT; VAR MODELS;

VALUE ENGINEERING;

EID: 47749100054     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1060     Document Type: Article

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