Shi, ShupingHurn, StanPhillips, Peter2020-09-242020-09-242020-12-01Journal of Financial Econometrics 18(1):158-180 01 Dec 20201479-8409https://hdl.handle.net/2292/53096Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher.https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htmhttps://academic.oup.com/journals/pages/self_archiving_policy_fSocial SciencesBusiness, FinanceEconomicsBusiness & Economicsmoney-income causalitysubsample Wald teststime-varying Granger causalityLONG-RUN CAUSALITYTIME-SERIESVECTOR AUTOREGRESSIONSOUTPUTTESTSINFERENCESELECTIONREALITYMODELSIMPACTJournal Article10.1093/jjfinec/nbz004Copyright: The authorshttp://purl.org/eprint/accessRights/OpenAccess1479-8417