Granger causality
Granger causality revisited
... Geweke Granger causality and the normalised (Kaminski) directed transfer ...expected Granger causality from the parameters of any generative model in exactly the same way that any other data ...
13
Agricultural Export and Exchange Rates in India: The Granger Causality Approach
... There are few studies relating to only agricultural sector about the effect of exchange rate on agricultural trade. Huges and Penson [10] studies have shown a marked increase in volume of agricultural exports over the ...
8
Testing for Granger causality between stock prices and economic growth
... For the equation (2) the associated F tests give the opposite result, in fact there seems to be no Granger-Causality from past values of GDP for future values of SP . It has to be noted that this holds for ...
11
Agricultural insurance and agricultural performance: Granger causality test: An application in Argentina
... or causality between the agricultural performance and the development of the agricultural insurance and this by resorting to an econometric approach which defines itself as follows: by proceeding by a study of the ...
6
Agricultural insurance and agricultural performance: granger causality test: An application in France
... the causality between the agricultural performance and the development of the agricultural insurance and this by resorting to an econometric approach using Granger Causality ...of causality ...
8
Granger causality in dynamic binary short panel data models
... of Granger causality (Granger, 1969), which is typical of the time series literature, as adapted to the nonlinear panel data setting by Chamberlain (1982) and Florens and Mouchart ...
35
An investigation of granger causality between tax revenues and government expenditures
... the causality from tax revenue to expenditure in case of Egypt and bi-lateral causality in case ...unidirectional causality between them as, his findings of granger causality test ...
6
Foreign direct investment and economic growth in Nigeria: A granger causality analysis
... and Granger causality test to establish the causal relationship between the ...The Granger causality test was adopted and it showed that a causality relationship ran from FDIs to GDP ...
8
Relationship between Tourism and Economic Growth: A Panel Granger Causality Approach
... Panel Granger causality analysis was applied to 11 groups of ...bidirectional causality in Europe between tourism revenue (TR) and gross domestic product ...unidirectional causality in ...
12
Causality between GDP, Export and Import in India (1950-2007): A Granger Causality Approach
... the Granger Causality Test and indicated that there was a causality relationship between the increase in export and economic ...applying Granger causality ...a causality ...
15
Measuring the propagation of financial distress with Granger-causality tail risk networks
... each Granger-causality tail risk network, we obtain a mea- sure of connectedness analogous to those defined in ...significant Granger-causality in tail from bond sales to equity ...
20
Characterizing time series : when Granger causality triggers complex networks
... Abstract. In this paper, we propose a new approach to characterize time series with noise perturbations in both the time and frequency domains by combining Granger causality and complex networks. We ...
13
Temporal Granger causality and the dynamics examination on the tourism growth nexus in Malaysia
... and Granger causality tests, this study also employs the variance decomposition, impulse response function and persistence profile analyses to assess the dynamic interaction between the variables and the ...
17
The Economic Impact of Remittances and Foreign Trade on Migration. Granger-Causality approach
... Feridun, (2005) l ater studied the case of Norway and more recently (2008) the case of Sweden. In the case of Norway he showed that the positive relation between immigration and GDP per capita existed and that ...
9
The Canadian Underground and Measured Economies: Granger Causality Results
... for Granger causality, namely that suggested by Toda and Yamamoto (1995), we need to determine the maximum order of integration of each of the series being ...
15
A non-linear Granger-causality framework to investigate climate–vegetation dynamics
... non-linear Granger-causality framework is used to dis- entangle the effect of past climate variability on global veg- etation ...non-linear causality frameworks described in ...
16
Detectability of Granger causality for subsampled continuous-time neurophysiological processes
... process. Granger causality is premised on a notion of causal- ity whereby cause (a) precedes effect, and (b) contains unique information about ...that Granger causality repre- sents a rather ...
38
Dynamic medium term Granger causality between growth and poverty
... Nevertheless, the short time series does preclude a traditional Granger-causality approach in which we predict out-of-sample across time. With our shorter panel data set we take advantage of the fact that ...
21
Price-Volume Granger Causality Tests in the Egyptian Stock Exchange (EGX)
... unidirectional causality from stock returns to percentage volume changes when they use linear Granger causality ...nonlinear Granger causality ...prices Granger-cause trading ...
13
THE GRANGER CAUSALITY OF INFLATION RATE, OIL REVENUE AND TAXATION IN IRAN
... test Granger causality test to find out any respond from variables in long run and short ...the granger causality test (VECM), we conclude that there is only relationship between oil revenue ...
15