Search Results

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;

External Debt, Domestic Debt and Inflation in Nigeria: A Multivariate Granger-Causality Test,
Akingbade Aimola and Nicholas Odhiambo, in Econometric Research in Finance (2022)
Keywords: Domestic Debt, External Debt, Inflation, Nigeria, Granger-Causality

External debt, domestic debt and inflation in Nigeria: A multivariate granger-causality test,
Akingbade Aimola and Nicholas Odhiambo, from University of South Africa, Department of Economics (2022)
Keywords: domestic debt; external debt; inflation; Nigeria; Granger-causality

Testing Granger Non-Causality in Expectiles,
Taoufik Bouezmarni, Mohamed Doukali and Abderrahim Taamouti, from School of Economics, University of East Anglia, Norwich, UK. (2023)
Keywords: Granger causality in expectiles, Granger causality in distribution, expectile regression function, asymmetric loss function, sup-Wald test.

Testing Granger Non-Causality in Expectiles,
Taoufik Bouezmarni, Mohamed Doukali and Abderrahim Taamouti, from University of Liverpool, Department of Economics (2022)
Keywords: Granger causality in expectiles, Granger causality in distribution, expectile regression function, asymmetric loss function, sup-Wald test

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

The Granger Non-Causality Test in Cointegrated Vector Autoregressions,
Hiroaki Chigira, 弘明 千木良, Taku Yamamoto and 拓 山本, from Graduate School of Economics, Hitotsubashi University (2003)
Keywords: Vector autoregression, Cointegration, Granger causality, Hypothesis testing

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

Testing for Granger non-causality in heterogeneous panels,
Elena Ivona Dumitrescu and Christophe Hurlin, in Economic Modelling (2012)
Keywords: Granger non-causality; Panel data; Wald test;

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

Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach,
Richard Ashley and Kwok Ping Tsang, in Econometrics (2014)
Keywords: time series; Granger-causality; causality; post-sample testing; exchange rates

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

Is health capital formation good for long-term economic growth? - Panel Granger-causality evidence for OECD countries,
Jochen Hartwig, in Journal of Macroeconomics (2010)
Keywords: Human capital Health and growth Panel Granger-causality tests

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 Graphical Investigation of the Size and Power of the Granger-Causality Tests in Integrated-Cointegrated VAR Systems,
Panagiotis Mantalos, in Studies in Nonlinear Dynamics & Econometrics (2000)
Keywords: bootstrap test, graphical methods, Granger causality, integrated-cointegrated (VAR) systems, Monte Carlo methods

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

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

Tourism and Growth in Nigeria: Application of TYDL Granger-Causality Test and Innovation Accounting Techniques,
Ademola Obafemi Young, in Journal of Tourism Management Research (2020)
Keywords: Export-led growth hypothesis, Tourism-led growth hypothesis, TYDL granger- causality test, Vector autoregressive model, Innovation accounting, Techniques

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

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

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;

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

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,

Immigration, income and unemployment: an application of the bounds testing approach to cointegration,
Mete Feridun, in Journal of Developing Areas (2007)
Keywords: ARDL bounds test, Granger-causality, immigration, unemployment

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

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

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 causality between FDI and economic growth using heterogeneous panel data,
Melisa Chanegriha, Chris Stewart and Christopher Tsoukis, from School of Economics, Kingston University London (2018)
Keywords: Granger-causality Tests; Panel Data; FDI; Economic Growth;

Inferring Causal Interactions in Financial Markets Using Conditional Granger Causality Based on Quantile Regression,
Hong Cheng, Yunqing Wang, Yihong Wang and Tinggan Yang, in Computational Economics (2022)
Keywords: Conditional Granger-causality, Multivariate time series, Quantile regression, Specification test

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

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.

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

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;

Predictive Testing for Granger Causality via Posterior Simulation and Cross-validation,
Gary Cornwall, Jeffrey A. Mills, Beau A. Sauley and Huibin Weng, from Emerald Group Publishing Limited (2019)
Keywords: Granger causality, predictive testing, posterior simulation, cross-validation, out-of-sample testing, Monte Carlo

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

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

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;

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

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

Money–Income Granger-Causality in Quantiles,
Tae Hwy Lee and Weiping Yang, from Emerald Group Publishing Limited (2012)
Keywords: Money – income Granger-causality, conditional mean, conditional quantiles, conditional distribution

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

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

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;

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

Financialization and growth nexus in the EU new member states (NMS): an ARDL bounds testing approach and Granger causality analysis,
Mehmed Ganic, in Journal of Financial Economic Policy (2023)
Keywords: Financialization, Growth, ARDL bounds testing approach, Granger causality analysis

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;

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

Vector autoregressive-based Granger causality test in the presence of instabilities,
Barbara Rossi and Yiru Wang, from University Library of Munich, Germany (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

Public debt and growth in the euro area: evidence from parametric and nonparametric Granger causality,
Silvestro Di Sanzo and Bella Mariano, in The B.E. Journal of Macroeconomics (2015)
Keywords: economic growth, fiscal policy, Granger-causality, nonlinear causality test, public debt

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

Testing the growth effects of structural change,
Jochen Hartwig, in Structural Change and Economic Dynamics (2012)
Keywords: Economic growth; Structural change; Human capital; Panel Granger-causality tests;

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

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

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;

Does remittance inflow granger-cause economic growth in South Africa? A dynamic multivariate causality test,
Sheilla Nyasha and Nicholas Odhiambo, from University of South Africa, Department of Economics (2019)
Keywords: Remittances; Economic Growth; South Africa; Granger-Causality

Christmas cards, Easter bunnies, and Granger-causality,
Erdal Atukeren, in Quality & Quantity: International Journal of Methodology (2008)
Keywords: Semantics of Granger-causality, Granger-Hsiao direct causality, Econometric methodology, B40, C50, A20,

The Granger-causality between wealth and transportation: A panel data approach,
Ibrahim Yetkiner and Mehmet Aldonat Beyzatlar, in Transport Policy (2020)
Keywords: Granger-causality; Wealth; Income; Transportation; Freight; Passenger;

Explaining the Common Stochastic Trend in Spanish Regional Unemployment: Granger-Causality Analysis,
Alejandro García-Cintado, Diego Romero-Ávila and Carlos Usabiaga, from Springer (2014)
Keywords: Unemployment rate, Granger-causality, Vector autoregression

Electricity consumption and GDP in an electricity community: Evidence from bound testing cointegration and Granger-causality tests,
Alastaire Alinsato, from University Library of Munich, Germany (2009)
Keywords: ARDL, cointegration, causality, growth, electricity

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