Tests for Long-Run Granger Non-Causality in Cointegrated Systems

Taku Yamamoto, 拓 山本, Eiji Kurozumi (kurozumi@stat.hit-u.ac.jp) and 英司 黒住

No 2003-12, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: Vector autoregression; Cointegration; Long-run causality; Hypothesis testing (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2003-06
Note: February 2001; First Revision, February 2002; Second Revision, February 2003; Third Revision, June 2003
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Citations: View citations in EconPapers (1)

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https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/16968/070econDP03-12.pdf

Related works:
Journal Article: Tests for Long‐Run Granger Non‐Causality in Cointegrated Systems (2006)
Working Paper: Tests for Long-Run Granger Non-Causality in Cointegrated Systems (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2003-12

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