Tests of causality. The message in the innovations

Carnegie-Rochester Confer. Series on Public Policy

Volumn 10, Issue C, 1979, Pages 55-96

  William Schwert, G ^a  

^a UNIVERSITY OF ROCHESTER   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 49249149635     PISSN: 01672231     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-2231(79)90003-4     Document Type: Article

References (57)

1. A Note on the Statistical Testability of Explicit Causal Chains against the Class of Interdependent Models
2. Distribution of Residual Autocorrelations in Autoregressive-Integrated-Moving Average Time Series Models
3. Efficient Capital Markets A Review of Theory and Empirical Work
4. Short Term Interest Rates as Predictors of Inflation
5. Economically Rational Expectations Are Innovations in the Rate of Inflation Independent of Innovations in Measures of Monetary and Fiscal Policy?
6. Investigating Causal Relations by Econometric Models and Cross Spectral Methods
7. Spurious Regressions in Econometrics
8. The Identification of Time Series Interrelationships with Special Reference to Dynamic Regression.
9. Checking the Independence of Two Covariance-Stationary Time Series A Univariate Residual Cross Correlation Approach
10. Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
11. Rational Expectations and the Theory of Price Movements
12. Rational Expectations and the Predictive Efficiency of Economic Models
13. Granger Causality and the Natural Rate Hypothesis
14. On Testing the Hypothesis that the Real Rate of Interest is Constant
15. Forecasting in Dynamic Models with Stochastic Regressors
16. Relationships--and the Lack thereof--between Economic Series, with Special Reference to Money and Interest Rates
17. Rejoinder
18. Causality in Temporal Systems: Characterizations and a Survey
19. A Time Series Analysis of Seasonality in Econometric Models with an Application to a Monetary Model
20. Estimation of a Noninvertible Moving Average Process: The Case of Overdifferencing
21. Money, Income, and Sunspots: Measuring Economic Relationships and the Effects of Differencing
22. A Time Series Analysis of the Control of Money
23. Money, Income and Causality
24. Comment
25. Money, Income, and Causality: The U.K. Experience
26. Causality and Econometrics
27. Why Do We Sometimes Get Nonsense Correlations between Time Series? A Study in Sampling and the Nature of Time Series
28. Comments on Time Series and Causal Concepts in Business Cycle Research
29. Causality and Econometrics
30. Money and Stock Prices
31. The Analysis of Closed-Loop Dynamic-Stochastic Systems
32. Feedback between Stationary Stochastic Processes
33. Dynamic Modelling of Multivariate Time Series for Use in Bank Analysis
34. Testing for Serial Correlation in Least Squares Regression When Some of the Regressors are Lagged Dependent Variables
35. Money Supply Control and Lagged Reserve Accounting
36. The Forward Exchange Rate, Expectations, and the Demand for Money
37. Comment
38. Identification of Two-Way Causal Systems
39. Rational Expectations and the Estimation of Econometric Models
40. 2 Measures for Time Series
41. Stock Returns Money Supply and the Direction of Causality
42. A Classical Econometric Model of the United States
43. The Observational Equivalence of Natural and Unnatural Rate Theories of Macroeconomics
44. Rational Expectations and the Dynamics of Hyperinflation
45. Exogeneity and Causal Ordering in Macroeconomic Models