Asymptotics for out of sample tests of Granger causality-Reference-Cited by-同舟云学术

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Asymptotics for out of sample tests of Granger causality

Published:2007-10 Issue:2 Volume:140 Page:719-752
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

McCracken Michael W.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference56 articles.

1. A new technique for postsample model selection and validation;Ashley;Journal of Economic Dynamics and Control,1998

2. Advertising and aggregate consumption: an analysis of causality;Ashley;Econometrica,1980

3. In search of a robust inflation forecast, economic perspectives (federal reserve bank of Chicago);Brave;Fourth Quarter,2004

4. Economic significance of predictable variations in stock index returns;Breen;Journal of Finance,1989

5. An out of sample test for granger causality;Chao;Macroeconomic Dynamics,2001

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