A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems

By Ghazi Shukur, Panagiotis Mantalos. 2000

261 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/55cc75d9ba9f4c31de2752478fe5caf1648555f3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Rangan Gupta
2. Chiwei Su
3. M. Balcılar
4. Meng Qin
5. Tsangyao Chang
6. Xiao-lin Li
7. Yu-Chen Zhang
8. Paresh Kumar Narayan

In Finance

1. Meng Qin
2. Chiwei Su
3. Yu-Chen Zhang
4. Tsangyao Chang
5. M. Balcılar
6. Rangan Gupta
7. Xiao-lin Li

Citations in the corpus

• The Essential Role of Pandemics: A Fresh Insight Into the Oil Market (2020, methodology): “To test our hypothesis, his paper applies the residual-based bootstrap (RB)-based modified-likelihood ratio (LR) statistics (Shukur & Mantalos, 1997, 2000).”
• The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach (2016, background): “Among them, Shukur and Mantalos (2000) particularly point out that small sample corrected LR tests exhibit relatively better power and size properties, even in small samples.”
• Multivariate-based causality tests of twin deficits in the US (2002, unknown): “Shukur & Mantalos (2000) have considered the size and power of various generalizations of tests for Granger-causality in integrated- cointegrated VAR systems.”