Testing subspace Granger causality

Al-Sadoon, M.

doi:10.1016/j.ecosta.2017.08.003

Testing subspace Granger causality

Al-Sadoon, M.

Authors

Dr Majid Al Sadoon majid.al-sadoon@durham.ac.uk
Associate Professor

Abstract

The methodology of multivariate Granger non-causality testing at various horizons is extended to allow for inference on its directionality. Empirical manifestations of these subspaces are presented and useful interpretations for them are provided. Simple vector autoregressive models are used to estimate these subspaces and to find their dimensions. The methodology is illustrated by an application to empirical monetary policy, where a conditional form of Okun’s law is demonstrated as well as a statistical monetary policy reaction function to oil price changes.

Citation

Al-Sadoon, M. (2019). Testing subspace Granger causality. Econometrics and Statistics, 9, 42-61. https://doi.org/10.1016/j.ecosta.2017.08.003

Journal Article Type	Article
Acceptance Date	Aug 15, 2017
Online Publication Date	Aug 24, 2017
Publication Date	Jan 1, 2019
Deposit Date	Aug 15, 2018
Publicly Available Date	Aug 24, 2018
Journal	Econometrics and Statistics
Publisher	Elsevier
Peer Reviewed	Peer Reviewed
Volume	9
Pages	42-61
DOI	https://doi.org/10.1016/j.ecosta.2017.08.003
Public URL	https://durham-repository.worktribe.com/output/1323194

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Publisher Licence URL
http://creativecommons.org/licenses/by-nc-nd/4.0/

Copyright Statement
© 2017 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/