Chapter 19 Inference and causality in economic time series models

Handbook of Econometrics

Volumn 2, Issue , 1984, Pages 1101-1144

  Geweke, John ^a  

^a DUKE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 70350118403     PISSN: 15734412     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S1573-4412(84)02011-0     Document Type: Review

References (67)

1. Akaike H. A New Look at the Statistical Model Identification. IEEE Transactions on Automatic Control AC-19 (1974) 716-723
2. forthcoming. Amameiya T. Selection of Regressors. International Economic Review (1980)
3. Amemiya T. Generalized Least Squares with an Estimated Autocovariance Matrix. Econometrica 41 (1973) 723-732
4. Anderson T.W. An Introduction to Multivariate Statistical Analysis (1958), Wiley, New York
5. Anderson T.W. On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference Equations. Annals of Mathematical Statistics 30 (1959) 676-687
6. Bahadur. Stochastic Comparisons of Tests. Annals of Mathematical Statistics 38 (1960) 303-324
7. Barth J.R., and Bennett J.T. The Role of Money in the Canadian Economy: An Empirical Test. Canadian Journal of Economics 7 (1974) 306-311
8. Basmann R.L. A Note on the Statistical Testability of 'Explicit Causal Chains' Against the Class of 'Interdependent Models'. Journal of the American Statistical Association 60 (1965) 1080-1093
9. Berndt E.R., and Savin N.E. Conflict Among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model. Econometrica 45 (1977) 1263-1278
10. Blalock Jr. H.M. Causal Inferences in Non-experimental Research (1961), University of North Carolina Press, Chapel Hill
11. Bunge M. Causality: The Place of the Causal Principle in Modern Science (1959), Harvard University Press, Cambridge
12. Christ C.F. Econometric Models and Methods (1966), Wiley
13. Doob J. Stochastic Processes (1953), Wiley, New York
14. Engle R., Hendry D., and Richard J.-F. Exogeneity. Econometrica 51 (1983) 277-304
15. Feigel H. Notes on Causality. In: Feigl, and Brodbeck (Eds). Readings in the Philosophy of Science (1953)
16. Fuller W.A. Introduction to Statistical Time Series (1976), Wiley, New York
17. Gel'fand I.M., and Yaglom A.M. Calculation of the Amount of Information about a Random Function Contained in Another Such Function. American Mathematical Society Translations Series 2 12 (1959) 199-264
18. Geweke J. Testing the Exogeneity Specification in the Complete Dynamic Simultaneous Equation Model. Journal of Econometrics 7 (1978) 163-185
19. Geweke J. The Approximate Slopes of Econometric Tests. Econometrica 49 (1981) 1427-1442
20. Geweke J. Measurement of Linear Dependence and Feedback Between Time Series. Journal of the American Statistical Association 77 (1982) 304-324
21. Geweke J. The Neutrality of Money in the United States, 1867-1981: An Interpretation of the Evidence. Carnegie-Mellon University Working Paper (1982)
22. forthcoming. Geweke J., and Meese R. Estimating Regression Models of Finite But Unknown Order. International Economic Review (1981)
23. Geweke J., Meese R., and Dent W. Comparing Alternative Tests of Causality in Temporal Systems: Analytic Results and Experimental Evidence. Journal of Econometrics 21 (1983) 161-194
24. also Chapter 7 of Granger, C. W. J. and M. Hatanaka, Spectral Analysis of Economic Time Series. Princeton: University Press. Granger C.W.J. Economic Processes Involving Feedback. Information and Control 6 (1963) 28-48
25. Granger C.W.J. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica 37 (1969) 424-438
26. Grenander U., and Szego G. Toeplitz Forms and Their Applications (1958), University of California Press, Berkeley
27. Guilkey D.K., and Salemi M.K. Small Sample Properties of Three Tests for Granger-Causal Ordering in a Bivariate Stochastic System. Review of Economics and Statistics 64 (1982) 68-80
28. Hannan E.J. Regression for Time Series. In: Rosenblatt M. (Ed). Proceedings of a Symposium on Time Series Analysis (1963), Wiley, New York
29. Hannan E.J. Multiple Time Series (1970), Wiley, New York
30. Haugh L.D. Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross Correlation Approach. Journal of the American Statistical Association 71 (1976) 378-385
31. Hosoya Y. On the Granger Condition for Non-causality. Econometrica 45 (1977) 1735-1736
32. Hsiao C. Autoregressive Modeling of Canadian Money and Income Data. Journal of the American Statistical Association 74 (1979) 553-560
33. Hsiao C. Causality Tests in Econometrics. Journal of Economic Dynamics and Control 1 (1979) 321-346
34. Hurwicz L. On the Structural Form of Interdependent Systems. In: Nagel E., et al. (Ed). Logic, Methodology and the Philosophy of Science (1962), Stanford University Press, Palo Alto
35. Koopmans T.C. When is an Equation System Complete for Statistical Purposes?. In: Koopmans T.C. (Ed). Statistical Inference in Dynamic Economic Models (1950), Wiley, New York
36. Koopmans T.C., and Hood W.C. The Estimation of Simultaneous Economic Relationships. In: Hood W.C., and Koopmans T.C. (Eds). Studies in Econometric Method (1953), Yale University Press, New Haven
37. Litterman, R., "A Bayesian Procedure for Forecasting with Vector Autoregressions" (MIT manuscript).
38. p. Technometrics 15 (1973) 661-675
39. Neftci S.N. A Time-Series Analysis of the Real Wages-Employment Relationship. Journal of Political Economy 86 (1978) 281-292
40. Nelson C.R., and Schwert G.W. Tests for Predictive Relationships between Time Series Variables: A Monte Carlo Investigation. Journal of the American Statistical Association 77 (1982) 11-18
41. Nerlove M., Grether D.M., and Carvalho J.K. Analysis of Economic Time Series: A Synthesis (1979), Academic Press, New York
42. Oberhofer W., and Kmenta J. A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models. Econometrica 42 (1974) 579-590
43. Series B. Osborn D.R. Exact and Approximate Maximum Likelihood Estimators for Vector Moving Average Processes. Journal of the Royal Statistical Society 39 (1977) 114-118
44. Parzen E. Multiple Time Series: Determining the Order of Approximating Autoregressive Schemes. In: Krishnaiah P. (Ed). Multivariate Analysis IV (1977), North-Holland, Amsterdam
45. Pierce D.A. Relationships-and the Lack Thereof-Between Economic Time Series, with Special Reference to Money and Interest Rates. Journal of the American Statistical Association 72 (1977) 11-22
46. 2 Measures for Time Series. Journal of the American Statistical Association 74 (1979) 901-910
47. Pierce D.A., and Haugh L.D. Causality in Temporal Systems: Characterizations and a Survey. Journal of Econometrics 5 (1977) 265-293
48. Rao M.M. Consistency and Limit Distributions of Estimators of Parameters in Explosive Stochastic Difference Equations. Annals of Mathematical Statistics 32 (1961) 195-218
49. Robinson P. Distributed Lag Approximations to Linear Time-Invariant Systems. Annals of Statistics 6 (1978) 507-515
50. Rozanov Y.A. Stationary Random Processes (1967), Holden-Day, San Francisco
51. Sargent T.J., and Sims C.A. Business Cycle Modeling with Pretending to Have Too Much a priori Economic Theory. In: Sims C.A. (Ed). New Methods in Business Cycle Research: Proceedings from a Conference (1977), Federal Reserve Bank of Minneapolis, Minneapolis
52. Schwarz G. Estimating the Dimension of a Model. Annals of Statistics 6 (1978) 461-464
53. Simon H.A. On the Definition of the Causal Relation. Journal of Philosophy 49 (1952) 517-527
54. In: Simon H.A. (Ed). Models of Man (1957), Wiley, New York
55. Sims C.A. Money, Income and Causality. American Economic Review 62 (1972) 540-552
56. Sims C.A. Output and Labor Input in Manufacturing. Brookings Papers on Economic Activity 1974 (1974) 695-736
57. Sims C.A. Exogeneity and Causal Ordering in Macroeconomic Models. In: Sims C.A. (Ed). New Methods in Business Cycle Research: Proceedings from a Conference (1977), Federal Reserve Bank of Minneapolis, Minneapolis
58. Sims C.A. Comment. Journal of the American Statistical Association 72 (1977) 23-24
59. Strotz R.H., and Wold H.O.A. Recursive vs. Non-recursive Systems: An Attempt at Synthesis. Econometrica 28 (1960) 417-427
60. Theil H. Principles of Econometrics (1971), John Wiley, New York
61. Wald A. Tests of Statistical Hypotheses Concerning Several Parameters When the Number of Observations is Large. Transactions of the American Mathematical Society 54 (1943) 426-485
62. Wallis K.F. Multiple Time Series Analysis and the Final Form of Econometric Models. Econometrica 45 (1977) 1481-1498
63. Whittle P. Prediction and Regulation by Linear Least-Square Methods (1983)
64. Wiener N. The Theory of Prediction. In: Beckenback E.F. (Ed). Modern Mathematics for Engineers (1956)
65. Wold H. The Analysis of Stationary Time Series (1938), Almquist and Wicksell, Uppsala
66. Zellner A. Causality and Econometrics (1979)
67. Zemanian A.H. Realizability Theory for Continuous Linear Systems (1972), Academic Press, New York