haku: @indexterm Unit roots / yhteensä: 32
viite: 18 / 32
| Tekijä: | Hassapis, C. |
| Otsikko: | Unit roots and Granger causality in the EMS interest rates: the German dominance hypothesis revisited |
| Lehti: | Journal of International Money and Finance
1999 : FEB, VOL. 18:1, p. 47-74 |
| Asiasana: | UNIT ROOTS EUROPEAN MONETARY SYSTEM INTEREST RATES |
| Kieli: | eng |
| Tiivistelmä: | The aim of this paper is twofold. First, it shows that: (a) sufficient conditions for unit roots, found in AR AR systems, to persist in VAR systems amount to Granger non-causality in any direction among the variables involved; (b) for first-order models with non-explosive variables Granger causality is also sufficient for cointegration; and (c) causality and cointegration inference are strongly affected by the omission of an important causing variable. |
SCIMA