Short Run and Long Run Causality in Time Series: Theory

Causality in distribution between European stock markets and commodity prices: using independence test based on the empirical copula

“…We are not interested in causality in a longer horizon, because, as Dufour and Renault [1998] and Dufour, Pelletier, and Renault [2006] show, in the financial market, if there is no causality between } { t X and } { t Y , it will be difficult to explore Granger causality in a longer horizon. As a consequence of the development of information technology, the impact of information in one market has the most significant effects in a short run.…”

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“…References Generalized Method of Moments as employed (Oraboune, 2008;Seetanah, 2012) Three log forms model with Fixed/random effects techniques (Ravallion and Datt, 1996;Datt and Ravallion, 2002;Ghura et al, 2002) Simultaneous equations Fan et al (2000) Neo-classical production functions such as Cobb-Douglas or log linear production function Fan et al (2004); (Munnell, 1992;Gramlich, 1994;Sturm et al, 1998;Romp and De-Haan, 2005) Simultaneous Equations (A) The Human Capital Channel, (B) The Market Access Channel, and (C) The Labor Activities Channel (Mustajab, 2009;Gachassin et al, 2010) Panel data and Dynamic Panel Analysis Seeanah et al (2009);Wooldridge (2002) Vector Autoregression (VAR) and Vector Error Correction Models (VECM) Perron (1990); Toda and Phillips (1993;1994); Dufour and Renault (1998);Ramirez (2004);Lütkepohl (2005) Structural Vector Autoregressive (SVAR) Sims (1980a;1980b); Amisano and Giannini (1997); Arellano and Bover (1995); Saikkonen and Lütkepohl (2002); Sarte (1997);Ogun (2010) In this study the impact of road infrastructure on Malawi's poverty is assessed from a macroeconomic perspective. The lack of clear theoretical guidance on the choice of regressors, for the poverty equation, leads to a wide set of possible specifications and model uncertainty which in turn often results in contradictory conclusions.…”

Testing for Causality in Variance Using Multivariate GARCH Models

“…As is well known, e.g. from Dufour and Renault (1998), in such setups it suffices to investigate the causality horizon of one period. If there is noncausality at horizon one, then there is noncausality at every horizon.…”

“…Thus, our restriction to only two sub-groups means that we can restrict our attention to a horizon of one period, which is notationally convenient. About all results of Dufour and Renault (1998) Comte and Lieberman (2000), we define causality in variance and linear causality in variance.…”