Search Results

Modified Hiemstra-Jones Test for Granger Non-causality,
Cees Diks & Valentyn Panchenko, from Society for Computational Economics (2004)
Keywords: Granger causality; Hypothesis tests; Nonparametric tests

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

Does the financialization of natural resources lead toward sustainability? An application of advance panel Granger non-causality,
Bofeng Xie, Mubeen Abdur Rehman, Junyan Zhang and Runze Yang, in Resources Policy (2022)
Keywords: Financial markets; Financial institutions; Natural resources; Ecological status; Granger non-causality;

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

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.

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 Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models,
Umberto Triacca, in Econometrics (2015)
Keywords: covariance matrix; Granger causality; time series

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

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

Financial Inclusion and Economic Growth in Sub-Saharan Africa—A Panel ARDL and Granger Non-Causality Approach,
Meshesha Demie Jima and Patricia Lindelwa Makoni, in JRFM (2023)
Keywords: financial inclusion; sustainable economic growth; principal component analysis (PCA); panel unit root test; cointegration test; system GMM; Granger non-causality test

Testing for non-causality by using the Autoregressive Metric,
Francesca Di Iorio and Umberto Triacca, from University Library of Munich, Germany (2011)
Keywords: AR metric, Bootstrap test, Granger non-causality, VAR

Granger non-causality tests between (non)renewable energy consumption and output in Italy since 1861: The (ir)relevance of structural breaks,
Andrea Vaona, in Energy Policy (2012)
Keywords: (non)Renewable energy; Real GDP; Granger causality;

Linking Granger Causality and the Pearl Causal Model with Settable Systems,
Halbert White, Karim Chalak and Xun Lu, from Boston College Department of Economics (2010)
Keywords: Causal Models, Conditional Exogeneity, Conditional Independence, Granger Non-causality

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 Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels,
Arturas Juodis, Yiannis Karavias and Vasilis Sarafidis, from University Library of Munich, Germany (2020)
Keywords: Panel Data; Granger Causality; VAR; Nickell bias; Bias Correction; Fixed Effects

A homogeneous approach to testing for Granger non-causality in heterogeneous panels,
Artūras Juodis, Yiannis Karavias and Vasilis Sarafidis, in Empirical Economics (2021)
Keywords: Panel data, Granger causality, VAR, “Nickell bias”, Bias correction, Fixed effects

A Homogeneous Approach to Testing for Granger Non-Causality in Heterogeneous Panels,
Arturas Juodis, Yiannis Karavias and Vasilis Sarafidis, from Monash University, Department of Econometrics and Business Statistics (2020)
Keywords: panel data, Granger causality, VAR, "Nickell bias", bias correction, fixed effects

Granger non-causality tests between (non)renewable energy consumption and output in Italy since 1861: the (ir)relevance of structural breaks,
Andrea Vaona, from University of Verona, Department of Economics (2010)
Keywords: renewable energy, non-renewable energy, real GDP, Granger-causality, cointegration

Fundamentalness, Granger Causality and Aggregation,
Mario Forni, Luca Gambetti and Luca Sala, from University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2018)
Keywords: Non-fundamentalness, Granger causality, aggregation, structural VAR

Impact of child health on economic growth: New evidence based on Granger non-causality tests,
Arshia Amiri and Mikael Linden, in Economics Bulletin (2016)
Keywords: child health; economic growth; Granger causality

XTGRANGERT: Stata module for improved Granger non-causality testing in heterogeneous and homogeneous panel data,
Jiaqi Xiao, Yiannis Karavias, Vasilis Sarafidis, Artūras Juodis and Jan Ditzen, from Boston College Department of Economics (2023)
Keywords: Granger causality, panel data, heterogeneous panels

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

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.

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

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

Has the COVID-19 pandemic shock transmitted to the u.s. stock market: Evidence using bootstrap (A)symmetric fourier granger causality test in quantiles,
Yi-Ting Peng, Tsangyao Chang, Omid Ranjbar and Feiyun Xiang, in The North American Journal of Economics and Finance (2024)
Keywords: Stock market; COVID-19; Granger non-causality; Asymmetric causality; Quantile regression method;

The role of the timeline in Granger causality test in the presence of daily data non-synchronism,
Ruslan Grigoryev, Shabbar Jaffry and German Marchenko, in Applied Econometrics (2012)
Keywords: interdependence; cross-market linkages; spillover; non-synchronism; synchronisation; asynchronism; comovement; Granger causality; GMT timeline; contemporaneous causality; instantaneous causality.

Tests for Long-Run Granger Non-Causality in Cointegrated Systems,
Taku Yamamoto, 拓 山本, Eiji Kurozumi and 英司 黒住, from Graduate School of Economics, Hitotsubashi University (2003)
Keywords: Vector autoregression, Cointegration, Long-run causality, Hypothesis testing

Tests for Long-Run Granger Non-Causality in Cointegrated Systems,
Taku Yamamoto and Eiji Kurozumi, from Institute of Economic Research, Hitotsubashi University (2003)
Keywords: Vector autoregression, Cointegration, Long-run causality, Hypothesis testing

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

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

Is there a causal relationship between unemployment and informal economy in Tunisia: evidence from linear and non-linear Granger causality,
Sami Saafi, Meriem Haj mohamed and Abdeljelil Farhat, in Economics Bulletin (2015)
Keywords: Non-linear Granger causality, Unemployment, Informal Economy, Tunisia

DEFENSE SPENDING AND ECONOMIC GROWTH IN TURKEY: A LINEAR AND NON-LINEAR GRANGER CAUSALITY APPROACH,
Stella Karagianni and Maria Pempetzoglu, in Defence and Peace Economics (2009)
Keywords: Defense spending, Economic growth, Turkey, Non-linear Granger Causality,

Economic Growth and the Rise of Democracy: A Granger Causality Analysis,
Prathibha Joshi and Kris Beck, in Economia Internazionale / International Economics (2021)
Keywords: Economic Growth; Political Freedom; Granger Causality; OECD; Non-OECD

Granger-causal analysis of VARMA-GARCH models,
Tomasz Woźniak, from European University Institute (2012)
Keywords: Granger causality, second-order noncausality, VARMA-GARCH models, Bayesian testing

Causality in quantiles and dynamic relations in energy markets: (De)tails matter,
Evangelos Kyritsis and Jonas Andersson, in Energy Policy (2019)
Keywords: Energy price returns; Granger non-causality; Quantile regression; Tail quantiles;

Hedge funds, exchange rates and causality: Evidence from Thailand and Malaysia,
W.N.W. Azman-Saini, from University Library of Munich, Germany (2006)
Keywords: Hedge Funds; Exchange Rates; Granger Non-Causality; Thailand; Malaysia

Quantile causality between gold commodity and gold stock prices,
Juan Reboredo and Andrea Ugolini, in Resources Policy (2017)
Keywords: Gold; Gold mining stocks; Quantile regression; Granger non-causality;

The Causality Direction of the Stock Market–Growth Nexus: Application of GMM Dynamic Panel Data and the Panel Ganger Non-causality Tests,
N.P. Ravindra Deyshappriya, in Margin: The Journal of Applied Economic Research (2016)
Keywords: Dynamic Panel Data Analysis; Stock Market Development; Finance-led Growth Hypothesis; Granger Non-causality Test; Economic Growth

Climate Risk, Economic Stability, and Tourism - A Cross-Sectionally Dependent Heterogeneous Panel Causality Analysis,
Wanhai You, Yue Zhang and Chien-Chiang Lee, in Energy RESEARCH LETTERS (2021)
Keywords: climate risk,economic stability,tourism,granger non-causality test

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,

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 LINEAR AND NON-LINEAR GRANGER NON-CAUSALITY HYPOTHESIS BETWEEN STOCK AND BOND: THE CASES OF MALAYSIA AND SINGAPORE,
Sheue Li Ong and Chong Mun Ho, in The Singapore Economic Review (SER) (2014)
Keywords: Stock and bond, linear, non-linear, causality, Taylor series approximation, C12, C22, G10

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

Untangling the causal relationship between tax burden distribution and economic growth in 23 OECD countries: Fresh evidence from linear and non-linear Granger causality,
Sami Saafi, Meriem Bel Haj Mohamed and Abdeljelil Farhat, in European Journal of Comparative Economics (2017)
Keywords: Tax structure, Economic Growth, Non-linear Granger Causality

Looking behind Granger causality,
Pu Chen and Chih-Ying Hsiao, from University Library of Munich, Germany (2010)
Keywords: Granger Causality; Time Series Causal Model; Graphical Model

Some Finite Sample Results On Testing For Granger Noncausality,
Judith Clarke and Sadaf Mirza, from Department of Economics, University of Victoria (2003)
Keywords: cointegration, error correction model, lag length selection, sequential testing, testing for Granger noncausality, Monte Carlo simulation

Granger causality and the inverse Ising problem,
Mario Pellicoro and Sebastiano Stramaglia, in Physica A: Statistical Mechanics and its Applications (2010)
Keywords: Granger causality; Transfer entropy; Ising model;

Granger Causality and Policy Ineffectiveness: A Rejoinder,
Willem Buiter, from C.E.P.R. Discussion Papers (1986)
Keywords: Granger Causality; Policy Effectiveness; Rational Expectations

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

Granger-causality in Markov Switching Models,
Monica Billio and Silvestro Di Sanzo, from Department of Economics, University of Venice "Ca' Foscari" (2006)
Keywords: Granger Causality, Markov Chains, Switching Models

Granger Causality in the Presence of Structural Changes,
Marco Bianchi, from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1995)
Keywords: Granger causality; switching regression model; structural breaks

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.

Systemic risk in the Chinese financial system: A panel Granger causality analysis,
Peter Cincinelli, Elisabetta Pellini and Giovanni Urga, in International Review of Financial Analysis (2022)
Keywords: Systemic risk; Systemic risk measures; Granger-non causality; Panel data;

Testing for the Granger-causality between returns in the U.S. and GIPSI stock markets,
Khamis Hamed Al-Yahyaee, Walid Mensi, Idries Mohammad Wanas Al-Jarrah and Aviral Tiwari, in Physica A: Statistical Mechanics and its Applications (2019)
Keywords: GIPSI; US; Stock market; Granger-causality; Non-Gaussian assumptions;

Examining Granger Causality in the Behavioral Reactions of Institutional Investors,
Rajesh Mohnot, from International Institute of Social and Economic Sciences (2017)
Keywords: Granger causality, Institutional investments, VAR

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

Financial networks based on Granger causality: A case study,
Angeliki Papana, Catherine Kyrtsou, Dimitris Kugiumtzis and Cees Diks, in Physica A: Statistical Mechanics and its Applications (2017)
Keywords: Granger causality; PMIME; Financial network;

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

Examining Granger causality between atmospheric parameters and radon,
Alessandro Attanasio, Maurizio Maravalle and Giulia Fioravanti, in Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards (2012)
Keywords: Radon, Time Series, Granger causality,

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

How Large are the Effects of Simultaneity on Testing Granger Causality?,
Joachim Wilde, in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) (2015)
Keywords: Granger causality, test, simultaneity, instantaneous causality

The Granger-Causality between Transportation and GDP: A Panel Data Approach,
Mehmet Aldonat Beyzatlar, Muge Karacal and Ibrahim Yetkiner, from Izmir University of Economics (2012)
Keywords: Granger-causality, Transportation, Income

Testing subspace Granger causality,
Majid Al-Sadoon, in Econometrics and Statistics (2019)
Keywords: Granger causality; VAR model; Rank testing; Okun’s law; Policy trade-offs;

Testing subspace Granger causality,
Majid Al-Sadoon, from Department of Economics and Business, Universitat Pompeu Fabra (2015)
Keywords: Granger causality, VAR model, rank testing, Okun's law, policy trade-offs.

Testing Subspace Granger Causality,
Majid Al-Sadoon, from Barcelona School of Economics (2016)
Keywords: Granger causality, VAR model, rank testing, Okun's law, policy trade-offs

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

Non-Causality Due to Included Variables,
Umberto Triacca, in Econometrics (2017)
Keywords: Granger causality; Hilbert spaces; time series

The Consequences of Systematic Sampling on Granger Causality,
Tilak Abeysinghe and Gulasekaran Rajaguru, from Econometric Society (2004)
Keywords: Systematic Sampling, Granger causality, Unit Roots, Cross covariance

Decomposing Granger Causality over the Spectrum,
Aurélie Lemmens, Christophe Croux and Marnik Dekimpe, from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam (2004)
Keywords: Granger causality, business surveys, production expectations, spectral analysis

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

Money-Income Granger-Causality in Quantiles,
Tae Hwy Lee and Weiping Yang, from University of California at Riverside, Department of Economics (2012)
Keywords: Money-income Granger-causality, Conditional mean, Conditional quantiles, Conditional distribution

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

Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form,
Anne Peguin-Feissolle, Birgit Strikholm and Timo Teräsvirta, from HAL (2013)
Keywords: C22, C51, Granger Causality, Hypothesis Testing, Nonlinearity

Energy use, emissions, economic growth and trade: A Granger non-causality evidence for Malaysia,
Mohd Adib Ismail and Mawar Murni Yunus, from University Library of Munich, Germany (2012)
Keywords: Emissions; Economic growth; Export; VECM; Causality; Impulse-response function; Malaysia

Granger-causality between islamic banks and conventional banks: evidence from Malaysia,
Amiruddin Nor and Abul Masih, from University Library of Munich, Germany (2017)
Keywords: Islamic banks, conventional banks, non-performing financing (NPF), non-performing loans (NPL), Granger-causality, Malaysia

Globalization and Granger Causality in International Stock Markets,
Rui Menezes, in International Journal of Finance, Insurance and Risk Management (2013)
Keywords: Cointegration, Globalization, Granger Causality, Stock Market.

Bayes multivariate signification tests and Granger causality,
Daniel Ciuiu, from University Library of Munich, Germany (2011)
Keywords: Bayes multi-variate test, Granger causality

Is There Really Granger Causality between Energy Use and Output?,
Stephan B. Bruns, Christian Gross and David Stern, in The Energy Journal (2014)
Keywords: Meta-analysis; Granger causality; Energy; Economic growth

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

The Canadian Underground and Measured Economies: Granger Causality Results,
David Giles, Lindsay Tedds and Gugsa Werkneh, from University Library of Munich, Germany (2002)
Keywords: underground economy, Granger causality, business cycles

A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality,
Taoufik Bouezmarni, Jeroen Rombouts and Abderrahim Taamouti, from CIRANO (2009)
Keywords: Nonparametric tests, conditional independence, Granger non-causality, Bernstein density copula, bootstrap, finance, volatility asymmetry, leverage effect, volatility feedback effect, macroeconomics, tests non paramétriques, indépendance conditionnelle, non-causalité de Granger, copule de densité de Bernstein, bootstrap, finance, asymétrie de la volatilité, effet de levier, effet de rétroaction de la volatilité, macroéconomie.

Does diversification affect the quality of loan portfolio?Panel Granger-causality evidence from US banks,
Dung Tran and Sy-Hoa Ho, from University Library of Munich, Germany (2019)
Keywords: Bank diversification, Non-performing loan, Panel Granger-causality

A Simple Test for Causality in Volatility,
Chia-Lin Chang and Michael McAleer, in Econometrics (2017)
Keywords: random coefficient stochastic process; simple test; Granger non-causality; regularity conditions; asymptotic properties; conditional volatility

A Simple Test for Causality in Volatility,
Chia-Lin Chang and Michael McAleer, from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2016)
Keywords: Random coefficient stochastic process, Simple test, Granger non-causality, Regularity conditions, Asymptotic properties, Conditional volatility

A Simple Test for Causality in Volatility,
Chia-Lin Chang and Michael McAleer, from Tinbergen Institute (2016)
Keywords: Random coefficient stochastic process, Simple test, Granger non-causality, Regularity conditions, Asymptotic properties, Conditional volatility

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