Measuring the strength of cointegration and Granger- causality
نویسنده
چکیده
This paper proposes a methodology that combines the use of Schwarz’s BIC in subset autoregression and subset transfer function identification along with the posterior odds ratio test developed by Poskitt & Tremayne (1987) in the context of testing for Granger-causality and cointegration tests. This approach provides a measure for the strength (decisiveness) of causality and cointegration between the variables of interest. As an illustration of our methodology, we reexamine the case of bivariate relationship between money and income in Canada. JEL Classification: C11, C22, E32
منابع مشابه
Public Expenditure and Economic Growth in Nigeria (A Granger Causality Approach) 1983-2012
This paper examines the impact of government expenditure on the Nigerian economy for the period 1983 - 2012. The government expenditure components used as the explanatory variables in the model are: expenditures on Health, Education, Defense, Agriculture and Transportation and Communication. The Gross Domestic Product (GDP) was used as a parameter for measuring economic growth. In order to esta...
متن کاملExchange Rate Volatility and Foreign Capital Inflows in Nigeria (1990-2016), Cointegration, DOLS and Granger Causality Approach
The aim of this study is to examine the nexus between exchange rate volatility and foreign capital inflows in Nigeria. The results from the past empirical studies about this subject matter have been controversial, which has created a gap in the literature. The study extracted data from CBN Statistical Bulletin and UNCTAD investment report from 1990-2016. Consequently, the findings that emerged ...
متن کاملExploring the Trade Openness, Energy Consumption and Economic Growth Relationship in Iran by Bayer and Hanck Combined Cointegration and Causality Analysis
This paper aims to investigate the direction of causality between economic growth, energy consumption and trade openness in case of Iran for the period 1967–2012. We apply the newly developed combined cointegration test proposed by Bayer and Hanck (2013). Vector Error Correction Model (VECM) is applied to determine the direction of causality between these three variables. The result of Bayer-Ha...
متن کاملInvestigating Cointegration and the Causal Relationship Between of Exchange Rate, Oil Price and Gas Price in Regional Markets
Short-term and long-term relationship between exchange rate, oil price and spot gas price of three regional gas markets was investigated using and estimating the Vector Autoregressive model. There is a significant and long-term relationship between variables.Short-term interactions of variables with Granger causality test One-year interaction of variables with intervals of one to twelve months ...
متن کاملThe Effects of Interest Rates Volatility on Stock Returns: Evidence from Bangladesh
The paper investigates the effects of interest rates on stock market performance by using monthly time series data for the economy of Bangladesh over the period of 1991 to 2012. A wide range of econometric techniques have been employed to analyze the relationship between the interest rate and stock market return. The study reveals a stable and significant long run relationship between the varia...
متن کامل