Test of persistent Causality with an Application of the Expectations Theory of the Term Structure

C. Bruneau and Eric Jondeau

Working Papers from Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.

Abstract: In this paper, address the problem of testing persistent causality between integrated, possibly cointegrated, time series.

Keywords: INTEREST RATE; COINTEGRATION; EXPECTATIONS (search for similar items in EconPapers)
JEL-codes: C20 C22 (search for similar items in EconPapers)
Pages: 30 pages
Date: 1996
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Working Paper: Test of persistent causality with an application of the expectations theory of the term structure (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pnegmi:9614

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