Testing Subspace Granger Causality

Majid Al-Sadoon

No 850, Working Papers from Barcelona School of Economics

Abstract: The methodology of multivariate Granger non-causality testing at various horizons is extended to allow for inference on its directionality. This paper presents empirical manifestations of these subspaces and provides useful interpretations for them. It then proposes methods for estimating these subspaces and finding their dimensions utilizing simple vector autoregressive models. The methodology is illustrated by an application to empirical monetary policy.

Keywords: Okun's law; Granger causality; rank testing; VAR model; policy trade-offs (search for similar items in EconPapers)
JEL-codes: C12 C13 C15 C32 C53 E3 E4 E52 (search for similar items in EconPapers)
Date: 2015-11
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://bw.bse.eu/wp-content/uploads/2015/11/850-file.pdf (application/pdf)

Related works:
Journal Article: Testing subspace Granger causality (2019)
Working Paper: Testing subspace Granger causality (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:850

Access Statistics for this paper

More papers in Working Papers from Barcelona School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Bruno Guallar ().