Measuring the strength of cointegration and Granger-causality
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.
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Document Type: Research Article
Affiliations: Swiss Institute for Business Cycle Research (KOF/ETH Zürich), Weinbergstrasse 35, ETH Zentrum, CH-8092 Zurich, Switzerland, Email: [email protected]
Publication date: 2005-08-10