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.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Article Media
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: 10 August 2005