Paper #1495

Título:

Testing subspace Granger causality

Autor:

Majid M. Al-Sadoon

Data:

Noviembre 2015

Resumen:

The methodology of multivariate Granger non-causality testing at various horizons is extended to allow for inference on its directionality. This paper presents empirical manifestations of these subspaces and provides useful interpretations for them. It then proposes methods for estimating these subspaces and finding their dimensions utilizing simple vector autoregressions modelling that is easy to implement. The methodology is illustrated by an application to empirical monetary policy.

Palabras clave:

Granger causality, VAR model, rank testing, Okun's law, policy trade-offs.

Códigos JEL:

C12, C13, C15, C32, C53, E3, E4, E52.

Área de investigación:

Estadística, Econometría y Métodos Cuantitativos

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