A Comparison of Alternatove causality and Predictive Accuracy Tests in the presence of Integrated and Co-integrated Economic Variables
Norman Swanson (),
Ataman Ozyildirim () and
Working Papers from Pennsylvania State - Department of Economics
A number of variations of seven causality tests of the absence of causal ordering are examined. The various of the tests considered account not only for stationarity, but also for integratedness and/or contegratedness among the variables in the model.
Keywords: TESTS; COINTEGRATION; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C10 C15 C19 (search for similar items in EconPapers)
Pages: 73 pages
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pensta:4-96-4
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