Testing subspace Granger causality

Majid Al-Sadoon

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

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 autoregressions modelling that is easy to implement. The methodology is illustrated by an application to empirical monetary policy.

Keywords: Granger causality; VAR model; rank testing; Okun's law; 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-ets, nep-mac and nep-ore
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Related works:
Journal Article: Testing subspace Granger causality (2019)
Working Paper: Testing Subspace Granger Causality (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:1495

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