Short and long run causality measures: Theory and inference

Keywords

Causality (physics), Econometrics, Granger causality, Nonparametric statistics, Series (stratigraphy)

References

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Cited by

• Cross-country evidence on the causal relationship between policy uncertainty and housing pricesGhassen El Montasser, Ahdi Noomen Ajmi, Tsangyao Chang — 2016
• Measuring the Dynamics of Global Business Cycle ConnectednessFrancis X. Diebold, Kamil Yılmaz — 2013
• Outward FDI and economic growth in Malaysia: An empirical studyKoi Nyen Wong — 2013
• A review of the Granger-causality fallacyMariusz Maziarz — 2015
• State Space Methods for Granger-Geweke Causality MeasuresVictor Solo — 2015
• Revisiting the causality between electricity consumption and economic growth in South Africa: a bootstrap rolling-window approachJanneke Dlamini, Mehmet Balcılar, Rangan Gupta — 2015
• Two-step adaptive model selection for vector autoregressive processesYunwen Ren, Zhiguo Xiao, Xinsheng Zhang — 2013
• Linear non-Gaussian causal discovery from a composite set of major US macroeconomic factorsZhe Gao, Zitian Wang, Lili Wang — 2012
• A permutation entropy based test for causality: The volume–stock price relationMariano Matilla‐García, Manuel Ruiz Marín, Mohammed I. Dore — 2014
• Nonparametric estimation and inference for conditional density based Granger causality measuresAbderrahim Taamouti, Taoufik Bouezmarni, Anouar El Ghouch — 2014
• Identification problems in Granger causality tests based on the net oil price increaseJason Stevens — 2014
• Mutual information based measures on complex interdependent networks of neuro data setsFatimah Abdul Razak — 2013
• OUTWARD FDI, MERCHANDISE AND SERVICES TRADE: EVIDENCE FROM SINGAPOREKoi Nyen Wong, Soo Khoon Goh — 2013
• Nonparametric tests for conditional independence using conditional distributionsTaoufik Bouezmarni, Abderrahim Taamouti — 2014
• Exchange Rates and Commodity Prices : Measuring Causality at Multiple HorizonsHui Jun Zhang, Jean‐Marie Dufour, John W. Galbraith — 2015
• Nonparametric Estimation and Inference for Granger Causality MeasuresAbderrahim Taamouti, Taoufik Bouezmarni, Anouar El Ghouch — 2012
• Measuring causality between volatility and returns with high-frequency dataAbderrahim Taamouti, Jean Marie Dufour, René García — 2008
• Identification and causality in macroeconomics and financeJean‐Marie Dufour — 2008
• The causal relationship between female labor supply and fertility in the USA: updated evidence via a time series multi-horizon approachParaskevi K. Salamaliki, Ioannis A. Venetis, Nicholas Giannakopoulos — 2013
• FROM THE "EUROPEAN PARADOX" TO A EUROPEAN DRAMA IN CITATION IMPACTJavier Ruiz‐Castillo — 2012

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