Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/50872
Authors: 
Atukeren, Erdal
Year of Publication: 
2003
Series/Report no.: 
Arbeitspapiere // Konjunkturforschungsstelle, Eidgenössische Technische Hochschule Zürich 78
Abstract: 
This paper proposes a methodology that combines the use of Schwarz's BIC in subset autoregression and subset transfer function identification along with the posterior odds ratio test developed by Poskitt & Tremayne (1987) in the context of testing for Granger-causality and cointegration tests. This approach provides a measure for the strength (decisiveness) of causality and cointegration between the variables of interest. As an illustration of our methodology, we reexamine the case of bivariate relationship between money and income in Canada.
Subjects: 
Schwarz criterion
Cointegration
Granger-causality
Posterior odds ratio
Money-Income Causality
JEL: 
C11
C22
E32
Document Type: 
Working Paper

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