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Measuring the strength of cointegration and Granger-causality

Erdal Atukeren

Applied Economics, 2005, vol. 37, issue 14, 1607-1614

Abstract: This study uses Poskitt and Tremayne's (1987) posterior odds ratio test and the associated model portfolio approach to measure the strength of the evidence from cointegration and Granger-causality tests. As an illustration of the methodology, the bivariate relationship between money and income in Canada is re-examined using historical data.

Date: 2005
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DOI: 10.1080/00036840500214173

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