Search Results

The Granger Non-Causality Test in Cointegrated Vector Autoregressions,
Hiroaki Chigira and Taku Yamamoto, from Institute of Economic Research, Hitotsubashi University (2003)
Keywords: Vector autoregression, Cointegration, Granger causality, Hypothesis testing

A review of the Granger-causality fallacy,
Mariusz Maziarz, in The Journal of Philosophical Economics (2015)
Keywords: Granger-causality, epistemology of causality, causality testing

Testing for Granger Non-causality in Heterogeneous Panels,
Christophe Hurlin and Elena Ivona Dumitrescu, from HAL (2012)
Keywords: Granger non-causality,Panel data,Wald Test.,Wald Test

Testing for spectral Granger causality,
Huseyin Tastan, in Stata Journal (2015)
Keywords: bcgcausality, Granger causality, Geweke measure, VAR

Testing for Granger causality in the presence of measurement errors,
Jonas Andersson, in Economics Bulletin (2005)
Keywords: Granger causality

Testing for Granger non-causality using the autoregressive metric,
Francesca Di Iorio and Umberto Triacca, in Economic Modelling (2013)
Keywords: AR metric; Bootstrap test; Granger non-causality; VAR models;

A Bootstrap Method to Test Granger-Causality in the Frequency Domain,
Matteo Farnè and Angela Montanari, in Computational Economics (2022)
Keywords: Bootstrap tests, Granger-causality spectra, Money stock and GDP, Euro Area

Econometric testing of the CAPM: A granger causality analysis on the Turkish banking industry,
Selçuk Bayracı, from University Library of Munich, Germany (2011)
Keywords: CAPM; Granger causality; unit-root tests

The effect of spillover on the Granger causality test,
Panagiotis Mantalos and Ghazi Shukur, in Journal of Applied Statistics (2010)
Keywords: causality in variance, GARCH, Granger causality, volatility spillover,

Granger Causality,
Gebhard Kirchgässner, Juergen Wolters and Uwe Hassler, from Springer (2013)
Keywords: Interest Rate, Monetary Policy, Causal Relation, Granger Causality, Granger Causality Test

Granger Causality,
Gebhard Kirchgässner and Juergen Wolters, from Springer (2007)
Keywords: Interest Rate, Causal Relation, Granger Causality, Granger Causality Test, Instantaneous Relation

Effects of simultaneity on testing Granger-causality – a cautionary note about statistical problems and economic misinterpretations,
Joachim Wilde, from Institute of Empirical Economic Research, Osnabrueck University (2012)
Keywords: Granger causality, test, simultaneity, instantaneous causality

Meta-Granger causality testing,
Stephan B. Bruns and David Stern, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2015)
Keywords: Granger causality, vector autoregression, information criteria, meta-analysis, meta-regression, bias, publication selection bias

The relationship between the F-test and the Schwarz criterion: Implications for Granger-causality tests,
Erdal Atukeren, in Economics Bulletin (2010)
Keywords: F-test, Schwarz Bayesian Information Criterion, Model selection, Granger-causality

Testing for Granger causality in panel data,
Luciano Lopez and Sylvain Weber, in Stata Journal (2017)
Keywords: xtgcause, Granger causality, panel datasets, bootstrap

Testing for Granger causality in panel data,
Luciano Lopez and Sylvain Weber, from IRENE Institute of Economic Research (2017)
Keywords: Stata, Granger causality, panel datasets, bootstrap.

A Copula Nonlinear Granger Causality,
Jong-Min Kim, Namgil Lee and Sun Young Hwang, in Economic Modelling (2020)
Keywords: Copula; Granger causality; Directional dependence; Permutation test;

Testing for Granger causality in the presence of measurement errors,
Jonas Andersson, from Norwegian School of Economics, Department of Business and Management Science (2004)
Keywords: Granger causality; measurement error

Testing for Granger causality with mixed frequency data,
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi, in Journal of Econometrics (2016)
Keywords: Granger causality test; Local asymptotic power; Mixed data sampling (MIDAS); Temporal aggregation; Vector autoregression (VAR);

Testing for Granger causality in large mixed-frequency VARs,
Thomas Götz, Alain Hecq and Stephan Smeekes, from Deutsche Bundesbank (2015)
Keywords: Granger Causality, Mixed Frequency VAR, Bayesian VAR, Reduced Rank Model, Bootstrap Test

Testing for Granger causality in large mixed-frequency VARs,
Thomas Götz, Alain Hecq and Stephan Smeekes, in Journal of Econometrics (2016)
Keywords: Granger causality; Mixed frequency VAR; Bayesian VAR; Reduced rank model; Bootstrap test;

Bayesian Testing of Granger Causality in Markov-Switching VARs,
Matthieu Droumaguet and Tomasz Woźniak, from European University Institute (2012)
Keywords: Granger Causality; Markov Switching Models; Hypothesis Testing; Posterior Odds Ratio; Gibbs Sampling

FDI and trade: A Granger causality analysis in a heterogeneous panel,
Raphaël Chiappini, from HAL (2011)
Keywords: FDI,trade,Granger causality tests

Parametric and nonparametric Granger causality testing: Linkages between international stock markets,
Jan G. Gooijer and Selliah Sivarajasingham, in Physica A: Statistical Mechanics and its Applications (2008)
Keywords: GARCH-BEKK; Granger causality; Hypothesis testing; Nonparametric; Stock market linkages;

A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion,
Bertrand Candelon and Sessi Tokpavi, from HAL (2014)
Keywords: Granger-causality, Distribution, Tails, Kernel-based test, Financial Spill-over

Granger causality testing in mixed-frequency Vars with possibly (co)integrated processes,
Alain Hecq and Thomas Goetz, from University Library of Munich, Germany (2018)
Keywords: Mixed frequencies; Granger causality; Hypothesis testing, Vector autoregressions; Cointegration

Testing Granger causality in Heterogeneous panel data models with fixed coefficients,
Christophe Hurlin, from HAL (2004)
Keywords: Testing,Granger,causality,Heterogeneous,panel,data,models,coefficients

Testing Granger Causality in Heterogeneous Panel Data Model with Fixed Coefficients,
Christophe Hurlin, from HAL (2007)
Keywords: Testing,Granger,Causality,Heterogeneous,Panel,Data,Model,Fixed,Coefficients

Testing Granger Non-Causality in Heterogeneous Panel Data Models,
Christophe Hurlin, from HAL (2007)
Keywords: Testing,Granger,Non-Causality,Heterogeneous,Panel,Data,Models

Testing Granger causality in Heterogeneous Panel Data Models with Fixed Coefficients,
Christophe Hurlin, from HAL (2008)
Keywords: Testing,Granger,causality,Heterogeneous,Panel,Data,Models,Fixed,Coefficients

Testing Granger causality in Heterogeneous Panel Data Models with Fixed Coefficients,
Christophe Hurlin, from HAL (2008)
Keywords: Testing,Granger,causality,Heterogeneous,Panel,Data,Models,Fixed,Coefficients

Financial Development and Growth: A Re-Examination using a Panel Granger Causality Test,
Christophe Hurlin and Baptiste Venet, from HAL (2008)
Keywords: Economic Growth,Granger Causality Tests,Panel Data,Financial Development

Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation,
Efthymios Pavlidis, Ivan Paya and David Peel, in Economics Letters (2015)
Keywords: Nonlinear Granger causality; Real exchange rates; Consumption; Heteroskedasticity robust test;

Testing Granger Non-Causality in Heterogeneous Panel Data Models with Fixed Coefficients,
Christophe Hurlin, from Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2007)
Keywords: Testing Granger Causality in Heterogeneous Panel Data Models with Fixed Coefficients

A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion,
Bertrand Candelon and Sessi Tokpavi, from University of Paris Nanterre, EconomiX (2014)
Keywords: Granger-causality, Distribution, Tails, Kernel-based test, Financial Spill-over.

Granger causality from exchange rates to fundamentals: What does the bootstrap test show us?,
Hsiu-Hsin Ko and Masao Ogaki, in International Review of Economics & Finance (2015)
Keywords: Exchange rates; Fundamentals; Granger causality; Bootstrap test;

Testing for time-varying Granger causality,
Christopher Baum, Stan Hurn, Kenneth Lindsay and Jesus Otero, in Stata Journal (2022)
Keywords: tvgc, Granger causality, time variation, temporal stability, datestamping

Persistence-robust Granger causality testing,
Dietmar Bauer and Alex Maynard, from University of Guelph, Department of Economics and Finance (2010)
Keywords: Granger causality, surplus lag, nonstationary, VAR, local-to-unity, long-memory

On the methodology of energy-GDP Granger causality tests,
Bernard C. Beaudreau, in Energy (2010)
Keywords: Energy; GDP; Granger causality; Methodology;

GCAUSE: Stata module to perform Granger causality tests,
Patrick Joly, from Boston College Department of Economics (2010)
Keywords: time series, causality, Granger, exogeneity

The EURPLN, DAX and WIG20: the Granger causality tests before and during the crisis,
Ewa Syczewska, in Dynamic Econometric Models (2014)
Keywords: Exchange rates, stock indices, financial crisis, risk, Granger causality, instantaneous causality, Diks-Panchenko test

The Relationship between Insurance Industry and Banking Sector in China: Asymmetric Granger Causality Test,
Guochen Pan, Jingyan Guo and Qiaoling Jing, in Journal for Economic Forecasting (2016)
Keywords: insurance industry, banking sector, causality, asymmetric Granger causality test, China

The impact of geopolitical risk on strategic emerging minerals prices: Evidence from MODWT-based Granger causality test,
Liuguo Shao, Saisha Cao and Hua Zhang, in Resources Policy (2024)
Keywords: GPR; Strategic emerging minerals; The linear Granger causality test; The nonlinear Granger causality test; MODWT;

Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test,
Massimiliano Caporina and Michele Costola, from Leibniz Institute for Financial Research SAFE (2021)
Keywords: Granger Causality, Hong test, DCC-GARCH, Oil market, COVID-19

Trade and Growth in the Pacific Islands - Empirical Evidence from the Bounds Test to Level Relationships and Granger Causality Tests,
Salih Katircioglu, Fehiman Eminer, Mehmet Aga and Ahmet Ozyigit, in Journal for Economic Forecasting (2010)
Keywords: economic growth, long-run equilibrium relationship, Granger causality test

Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test,
Massimiliano Caporin and Michele Costola, in Energy Economics (2022)
Keywords: Granger causality; Hong test; DCC-GARCH; Oil market; COVID-19;

Military Spending and Inequality: Panel Granger Causality Test,
Eric Lin and Hamid E. Ali, from University Library of Munich, Germany (2009)
Keywords: Military Spending, Inequality, Panel Granger Causality

A consistent nonparametric test for causality in quantile,
Kiho Jeong and Wolfgang Härdle, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2008)
Keywords: Granger Causality, Quantile, Nonparametric Test

Corruption and Income Inequality in Asian Countries: Bootstrap Panel Granger Causality Test,
Chiung-Ju Huang, in Journal for Economic Forecasting (2013)
Keywords: corruption, income inequality, cross-sectional dependence, heterogeneity, panel Granger causality test

Does globalization affect the insurance markets? Bootstrap panel Granger causality test,
Tsangyao Chang, Shu-Ching Cheng, Guochen Pan and Tsung-pao Wu, in Economic Modelling (2013)
Keywords: Globalization; Insurance markets; Bootstrap panel Granger causality test; Eastern Asia; Cross dependence;

Purchasing Power Parity: Granger Causality Tests for the Yen- Dollar Exchange Rate,
Gunther Schnabl and Dirk Baur, from University Library of Munich, Germany (2005)
Keywords: yen, yen-dollar exchange rate, purchasing power parity, Granger causality test

Purchasing power parity: Granger causality tests for the yen-dollar exchange rate,
Gunther Schnabl and Dirk Baur, from University of Tübingen, School of Business and Economics (2001)
Keywords: yen, yen-dollar exchange rate, purchasing power parity, Granger causality test

Testing for Nonlinear Granger Causality Between Bitcoin Market and Crude Oil Market,
Fang Wang and Menggang Li, from Springer (2024)
Keywords: time-scale analysis, CEEMDAN, nonlinear Granger causality test, bitcoin market, WTI crude oil market

Import-economic growth nexus in selected African countries: An application of the Toda-Yamamoto Granger non-causality test,
Olufemi Adewale Aluko Adefemi A. Obalade, in Zagreb International Review of Economics and Business (2020)
Keywords: Imports, Economic growth, Toda-Yamamoto Granger non-causality test, Africa

Does happiness forecast implied volatility? Evidence from nonparametric wave-based Granger causality testing,
Yue Li, John W. Goodell and Dehua Shen, in The Quarterly Review of Economics and Finance (2021)
Keywords: Happiness; Implied volatility; Granger causality; Wavelet-based testing; Online sentiment;

Persistence-robust surplus-lag Granger causality testing,
Dietmar Bauer and Alex Maynard, in Journal of Econometrics (2012)
Keywords: Granger causality; VAR; Long-memory; Structural breaks; Forward rate unbiasedness;

Testing for Granger causality in heterogeneous mixed panels,
Furkan Emirmahmutoglu and Nezir Kose, in Economic Modelling (2011)
Keywords: Granger causality Meta analysis Mixed panels Cross-sectional dependency

Research output and economic productivity: a Granger causality test,
Ling-Chu Lee, Pin-Hua Lin, Yun-Wen Chuang and Yi-Yang Lee, in Scientometrics (2011)
Keywords: Research output, Economic productivity, Time series analysis, Granger causality

VAR-Based Granger-Causality Test in the Presence of Instabilities,
Barbara Rossi and Yiru Wang, from Barcelona School of Economics (2019)
Keywords: gcrobustvar, Granger-causality, VAR, instability, structural breaks, local projections

VAR-based Granger-causality test in the presence of instabilities,
Yiru Wang and Barbara Rossi, from Department of Economics and Business, Universitat Pompeu Fabra (2019)
Keywords: gcrobustvar, Granger-causality, VAR, instability, structural breaks, local projections

Assessing Fiscal Sustainability with Panel Unit Root, Cointegration, and Granger Causality Tests: Evidence from the Broader Groups of Countries,
Fir Nejc, in Naše gospodarstvo/Our economy (2024)
Keywords: Cointegration tests, Fiscal sustainability, Granger causality tests, Intertemporal budgetary constraint, Unit root tests

The Granger causality analysis of crude oil futures price and U.S. dollar value,
Blanka Łęt, in Acta Universitatis Nicolai Copernici, Ekonomia (2012)
Keywords: crude oil, Granger causality, causality-in-mean test, causality-in-variance test

Testing for Granger Causality in the Presence of Chaotic Dynamics,
Dimitrios Hristu-Varsakelis and Catherine Kyrtsou, in Brussels Economic Review (2010)
Keywords: Complex Dynamics; Granger Causality; Non-linear Causality; Bivariate Noisy Mackey-Glass Model

The Crude Oil Price and Speculations: Investigation Using Granger Causality Test,
Saleh Obadi and Matej Korecek, in International Journal of Energy Economics and Policy (2018)
Keywords: Granger Causality, Oil Price, Speculation

Partially heterogeneous tests for Granger non-causality in panel data,
Arturas Juodis and Yiannis Karavias, from Bank of Lithuania (2019)
Keywords: Panel Data, Granger Causality, VAR

A nonparametric copula based test for conditional independence with applications to Granger causality,
Taoufik Bouezmarni, Jeroen Rombouts and Abderrahim Taamouti, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009)
Keywords: nonparametric tests, conditional independence, Granger non-causality, Bernstein density copula, bootstrap, finance, volatility asymmetry, leverage effect, volatility feedback effect, macroeconomics

A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality,
Taoufik Bouezmarni, Jeroen Rombouts and Abderrahim Taamouti, from CIRPEE (2009)
Keywords: Nonparametric tests, conditional idependence, Granger non-causality, Bernstein density copula, bootstrap, finance, volatility asymmetry, leverage effect, volatility feedback effect, macroeconomics

On the Interpretation of Causality in Granger’s Sense,
Magdalena Osinska, in Dynamic Econometric Models (2011)
Keywords: Granger causality, systematic causality, informational causality, nonlinear causality.

Examining Relationships between Regional Ecological Risk and Land Use Using the Granger Causality Test Applied to a Mining City, Daye, China,
Kai Guo, Zhenhao He, Xiaojin Liang, Xuanwei Chen, Renbo Luo, Tianqi Qiu and Kexin Zhang, in Land (2023)
Keywords: land use; ecological risk; cointegration analysis; Granger causality test

Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality,
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi, in Journal of Econometrics (2020)
Keywords: Dimension reduction; Granger causality test; Max test; Mixed Data Sampling (MIDAS); Parsimonious regression models;

Improved Tests for Granger Non-Causality in Panel Data,
Jiaqi Xiao, Arturas Juodis, Yiannis Karavias and Vasilis Sarafidis, from University Library of Munich, Germany (2021)
Keywords: Panel data, Granger non-causality, Nickell bias, Heterogeneous panels, Fixed effects, Half-panel Jackknife, xtgranger.

Improved Tests for Granger Non-Causality in Panel Data,
Jiaqi Xiao, Arturas Juodis, Yiannis Karavias and Vasilis Sarafidis, from Department of Economics, University of Birmingham (2021)
Keywords: Panel data, Granger non-causality, Nickell bias, Heterogeneous panels, Fixed effects, Half-panel Jackknife, xtgranger

Testing for Granger Causality with Mixed Frequency Data,
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi, from C.E.P.R. Discussion Papers (2013)
Keywords: Granger causality; Mixed data sampling (midas); Temporal aggression; Vector autoregression (var)

Improved Tests for Granger Non-Causality in Panel Data,
Jiaqi Xiao, Arturas Juodis, Yiannis Karavias, Vasilis Sarafidis and Jan Ditzen, from University Library of Munich, Germany (2022)
Keywords: Panel data, Granger causality, Nickell bias, Heterogeneous panels, Halfpanel Jackknife, Cross-section dependence, xtgranger.

Bayesian Testing of Granger Causality in Functional Time Series,
Rituparna Sen, Anandamayee Majumdar and Shubhangi Sikaria, in Journal of Quantitative Economics (2022)
Keywords: Multivariate functional time series, Dynamic linear model, Granger causality, Bayesian analysis

RATS program to demonstrate bootstrapping applied to Granger causality test,
Tom Doan, from Boston College Department of Economics
Keywords: Bootstrapping, causality test

RATS program to demonstrate Granger causality test with heterogeneous panel,
Tom Doan, from Boston College Department of Economics
Keywords: Panel causality test

Taxation and Transportation: Granger Causality Approach in Nigeria,
Adegbite Adejare, in Studia Universitatis „Vasile Goldis” Arad – Economics Series (2021)
Keywords: Transportation, Granger Causality, Taxation, VAR, Dickey-Fuller Test

The Relationships among Cryptocurrencies: A Granger Causality Analysis,
Nadir Khan, Muhammad Zohair Durrani, Naila Mushtaq, S M Nabeel ul Haq and Babar Ijaz, in iRASD Journal of Economics (2022)
Keywords: Cryptocurrencies, Granger causality, Unit root test, Directed networks

Sampling distribution for single-regression Granger causality estimators,
A J Gutknecht and L Barnett, in Biometrika (2023)
Keywords: Generalized χ2 distribution, Granger causality, Likelihood-ratio test, Statistical inference

Stock Market Integration: Granger Causality Testing with Respect to Nonsynchronous Trading Effects,
Eduard Baumohl and Tomáš Výrost, in Czech Journal of Economics and Finance (Finance a uver) (2010)
Keywords: stock market integration, nonsynchronous trading, Granger causality

A Note on Inferring Acyclic Network Structures Using Granger Causality Tests,
Nagarajan Radhakrishnan, in The International Journal of Biostatistics (2009)
Keywords: Granger Causality, VAR process, Gene Networks

FDI and Pollution: A Granger Causality Test using Panel Data,
Robert Hoffmann, Chew Ging Lee, Bala Ramasamy and Matthew Yeung, from Centre for Europe-Asia Business Research (2004)
Keywords: FDI, CO2-emission, Granger causality, pollution haven

Testing for Granger causality in heterogeneous panels with cross-sectional dependence,
Saban Nazlioglu and Cagin Karul, in Empirical Economics (2024)
Keywords: Granger causality, Panel data, Common factor

TVGC: Stata module to perform Time-Varying Granger Causality tests,
Jesus Otero, Christopher Baum and Stan Hurn, from Boston College Department of Economics (2024)
Keywords: Granger causality, rolling window, Phillips, Shi, Hurn

XTGCAUSE: Stata module to test for Granger non-causality in heterogeneous panels,
Luciano Lopez and Sylvain Weber, from Boston College Department of Economics (2022)
Keywords: Granger causality, panel data, heterogeneous panels

Testing for Granger (non)-Causality in a Time Varying Coefficient VAR Model,
Dimitris Christopoulos and Miguel Leon-Ledesma, from School of Economics, University of Kent (2008)
Keywords: Granger causality; Time-varying coefficients; LSTAR models

Evaluating the Persistence of j Curve Phenomenon in the Bilateral Trade between Bangladesh and USA: The ARDL Bounds Testing Approach and Granger Causality Analysis,
Homamul Islam, in International Journal of Economics and Financial Research (2021)
Keywords: Trade balance; Exchange rate; Inflation rate; ARDL bounds test; Granger causality test; Stability test.

GCROBUSTVAR: Stata module to compute a VAR-based Granger-causality Test in the Presence of Instabilities,
Barbara Rossi and Yiru Wang, from Boston College Department of Economics (2020)
Keywords: VAR, Granger causality, robust

LMGC: Stata module to compute Granger Causality Test at Higher Order AR(p),
Emad Shehata, from Boston College Department of Economics (2012)
Keywords: Grange causality, AR(p)