Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship

Jonathan B. Hill
Additional contact information
Jonathan B. Hill: Department of Economics, Florida International University, Miami, Florida, USA, Postal: Department of Economics, Florida International University, Miami, Florida, USA

Journal of Applied Econometrics, 2007, vol. 22, issue 4, 747-765

Abstract: This paper develops a simple sequential multiple-horizon non-causation test strategy for trivariate VAR models (with one auxiliary variable). We apply the test strategy to a rolling window study of money supply and real income, with the price of oil, the unemployment rate and the spread between the Treasury bill and commercial paper rates as auxiliary processes. Ours is the first study to control simultaneously for common stochastic trends, sensitivity of test statistics to the chosen sample period, null hypothesis over-rejection, sequential test size bounds, and the possibility of causal delays. Evidence suggests highly significant direct or indirect causality from M1 to real income, in particular through the unemployment rate and M2 once we control for cointegration. Copyright © 2007 John Wiley & Sons, Ltd.

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.925 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2007-v22.4/ Supporting data files and programs (text/html)

Related works:
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:jae:japmet:v:22:y:2007:i:4:p:747-765

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

DOI: 10.1002/jae.925

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().