Long-Run Causality, with an Application to International Links between Long-Term Interest Rates

Price leadership within a marketing channel: A cointegration study

“…To test for the absence of error-correcting behaviour, we use the concept of long-run causality as defined in Bruneau and Jondeau (1999). To explain which parameter restrictions in Eq.…”

“…Another methodological feature of our paper is that we propose a test procedure that uses the definition of long-run noncausality as formulated by Bruneau and Jondeau (1999) to derive the testable implications of our three cases on vertical price leadership. Bruneau and Jondeau's (1999) definition can be seen as complementing the earlier concept of Gonzalo and Granger (1995) of common factors on which restrictions were tested for longrun noncausality.…”

“…Bruneau and Jondeau's (1999) definition can be seen as complementing the earlier concept of Gonzalo and Granger (1995) of common factors on which restrictions were tested for longrun noncausality. However, in contrast to Bruneau and Jondeau (1999) we avoid formulating nonlinear parameter restrictions to be tested by a Wald statistic.…”

“…Bruneau and Jondeau's (1999) definition can be seen as complementing the earlier concept of Gonzalo and Granger (1995) of common factors on which restrictions were tested for longrun noncausality. However, in contrast to Bruneau and Jondeau (1999) we avoid formulating nonlinear parameter restrictions to be tested by a Wald statistic. The econometric literature contains many warnings of the undesirable properties of the Wald statistic in the case of nonlinear parameter restrictions, see e.g., Dagenais andDufour (1991), Critchley, Marriott, andSalmon (1996), Gregory and Veall (1985), Lafontaine and White (1986), and, Philips and Park (1988).…”

Constructing structural VAR models with conditional independence graphs

“…With the popularity of cointegration and VAR/SVAR approaches to estimation in econometrics, a separate literature using these approaches to estimate and test term structure models and implications can be identified and includes [2,5,9,10,15,16,24]. The papers are typically motivated by a concern to understand the term structure for the "related monetary policy control" issues and focus either upon technical estimation issues and often the validity of inferences derived including, importantly, causal inference, the effects of structural change or the testing of various hypotheses.…”