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Testing subspace Granger causality.

Al-Sadoon, M. (2019) 'Testing subspace Granger causality.', Econometrics and statistics., 9 . pp. 42-61.


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.
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Publisher statement:© 2017 This manuscript version is made available under the CC-BY-NC-ND 4.0 license
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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