Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
Reference
Journal of Financial Econometrics 18(1):158-180 01 Dec 2020
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Abstract
Description
DOI
10.1093/jjfinec/nbz004
Keywords
Social Sciences, Business, Finance, Economics, Business & Economics, money-income causality, subsample Wald tests, time-varying Granger causality, LONG-RUN CAUSALITY, TIME-SERIES, VECTOR AUTOREGRESSIONS, OUTPUT, TESTS, INFERENCE, SELECTION, REALITY, MODELS, IMPACT
ANZSRC 2020 Field of Research Codes
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Copyright: The authors