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)

Publisher: Routledge, part of the Taylor & Francis Group

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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

DOI: http://dx.doi.org/10.1080/00036840500214173

Affiliations: 1: Swiss Institute for Business Cycle Research (KOF/ETH Zürich), Weinbergstrasse 35, ETH Zentrum, CH-8092 Zurich, Switzerland, Email: atukeren@kof.gess.ethz.ch

Publication date: 2005-08-10

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