Testing the one-way effect in the presence of trend breaks

Yuzo Hosoya, Feng Yao, Taro Takimoto

研究成果: Contribution to journalArticle査読

1 被引用数 (Scopus)

抄録

This paper provides an approach to testing the measures of the one-way effect for cointegrated vector time-series in the presence of trend breaks. We propose Wald testing the measures and their computational algorithm, an extension of previous work by Hosoya and Yao and Hosoya, to the case where trend breaks are explicitly taken into account in the cointegration relationship. On the basis of the proposed inferential method and the derived evidence, we present a causal structure characterization of money supply and income as well as interest rates for the last 44 years of the Japanese economy, and contrast it with the results of Yao and Hosoya.

本文言語英語
ページ(範囲)107-126
ページ数20
ジャーナルJapanese Economic Review
56
1
DOI
出版ステータス出版済み - 1 1 2005
外部発表はい

All Science Journal Classification (ASJC) codes

  • 経済学、計量経済学

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