Measuring the strength of cointegration and Granger-causality
Author: Atukeren, Erdal
Source: Applied Economics, Volume 37, Number 14, 10 August 2005 , pp. 1607-1614(8)
Abstract:This study uses Poskitt and Tremayne's (1987) posterior odds ratio test and the associated model portfolio approach to measure the strength of the evidence from cointegration and Granger-causality tests. As an illustration of the methodology, the bivariate relationship between money and income in Canada is re-examined using historical data.
Document Type: Research Article
Affiliations: Swiss Institute for Business Cycle Research (KOF/ETH Zürich), Weinbergstrasse 35, ETH Zentrum, CH-8092 Zurich, Switzerland, Email: firstname.lastname@example.org
Publication date: August 10, 2005