Short and long run causality measures: Theory and inference

Dufour, Jean-Marie, Taamouti, Abderrahim . Journal of Econometrics 2010. 154 (1) :42-58

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Bibtex

@article{CIS-250002,
  Author = {Dufour, Jean-Marie and Taamouti, Abderrahim},
  Title = {Short and long run causality measures: Theory and inference},
  Journal = {Journal of Econometrics},
  Volume = {154},
  Number = {1},
  Year = {2010},
  Pages = {42--58},
  Keywords = {Time series, Monte Carlo, Bootstrap, Inflation, Interest rates, Output, Granger causality, VAR, macroeconomics, predictability, autoregression model, money, indirect causality, multiple horizon causality}
}

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