Al-Sadoon, M. (2019) 'Testing subspace Granger causality.', Econometrics and statistics., 9 . pp. 42-61.
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.
| Item Type: | Article |
|---|---|
| Full text: | (AM) Accepted Manuscript Available under License - Creative Commons Attribution Non-commercial No Derivatives. Download PDF (773Kb) |
| Status: | Peer-reviewed |
| Publisher Web site: | https://doi.org/10.1016/j.ecosta.2017.08.003 |
| Publisher 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/ |
| Date accepted: | 15 August 2017 |
| Date deposited: | 16 August 2018 |
| Date of first online publication: | 24 August 2017 |
| Date first made open access: | 24 August 2018 |
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