Multivariate subset autoregressive modelling with zero constraints for detecting ‘overall causality’

Penm, Jammie; Terrell, Richard

doi:10.1016/0304-4076(84)90056-3

Cited by 51 publications

(37 citation statements)

References 17 publications

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“…An estimated coefficient at lag k is considered "significant", if the associated SBIC value is lower than the SBIC at lag k-1. See also Penm & Terrell (1984) and Marin (1992).…”

Section: Discussionmentioning

confidence: 99%

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Measuring the strength of cointegration and Granger-causality

Atukeren¹

2005

Applied Economics

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may

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“…An estimated coefficient at lag k is considered "significant", if the associated SBIC value is lower than the SBIC at lag k-1. See also Penm & Terrell (1984) and Marin (1992).…”

Section: Discussionmentioning

confidence: 99%

“…Hsiao (1979Hsiao ( , 1982 used second differencing on the natural logarithms (logs) of each variable. Lütkepohl (1982) and Penm & Terrell (1984) took first differences of the log-levels. Kim and Ro (1988) conducted their analyses on the log-levels of the variables.…”

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confidence: 99%

Measuring the strength of cointegration and Granger-causality

Atukeren¹

2005

Applied Economics

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“…No discussion is given on this procedure for the reason of brevity. Interested readers are referred to Brailsford et al [1] and Penm and Terrell [15] for details.…”

Section: Empirical Test Resultsmentioning

confidence: 99%

“…Although Hsiao's approach allows the presence of zero and nonzero patterned coefficients in a VAR system, the model specification is determined by applying an order selection algorithm to each single equation separately, rather than to the system as a whole. As demonstrated by Penm and Terrell [15], the so-determined specification can lead to misleading conclusions on the presence of Granger causality in the system. To overcome this shortfall, Penm and Terrell [15] provide a robust algorithm to select the optimal VAR specification with zero and nonzero patterned coefficients (if the underlying system has such a structure).…”

Section: Introductionmentioning

confidence: 99%

“…As demonstrated by Penm and Terrell [15], the so-determined specification can lead to misleading conclusions on the presence of Granger causality in the system. To overcome this shortfall, Penm and Terrell [15] provide a robust algorithm to select the optimal VAR specification with zero and nonzero patterned coefficients (if the underlying system has such a structure). Brailsford et al [1] develop an adjustment to this algorithm, which ensures that the resultant variance-covariance matrix of the white noise disturbance process is symmetric for the determined VAR.…”

Section: Introductionmentioning

confidence: 99%

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Effectiveness of high interest rate policy on exchange rates: A reexamination of the Asian financial crisis

Brailsford

Penm

Lai

2006

Journal of Applied Mathematics and Decision Sciences

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One of the most controversial issues in the aftermath of the Asian financial crisis has been the appropriate response of monetary policy to a sharp decline in the value of some currencies. In this paper, we empirically examine the effects on Asian exchange rates of sharply higher interest rates during the Asian financial crisis. Taking account of the currency contagion effect, our results indicate that sharply higher interest rates helped to support the exchange rates of South Korea, the Philippines, and Thailand. For Malaysia, no significant causal relation is found from the rate of interest to exchange rates, as the authorities in Malaysia did not actively adopt a high interest rate policy to defend the currency.

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Empirical Vector Autoregressive Modeling

Ooms¹

1994

Lecture Notes in Economics and Mathematical Systems

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9 2 The Unrestricted VAR and its components 11 2.1 Introduetion 11 2.2 The model 12 2.3 Univariate processes and unit roots 15 2.4 Integrated processes 18 2.4.1 Definitions and notation 18 2.4.2 MA representation, autocorrelation and pseudo spectrum 2.5 Alternative models for nonstationarity, long memory and persistenee 2.5.1 Nonstationarity 2.5.2 Long memory, the varianee time function and adjusted range analysis 2.5.3 Persistenee Appendix A2.1 MA representation integrated process A2.1.1 MA representations A2.

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Multivariate subset autoregressive modelling with zero constraints for detecting ‘overall causality’

Cited by 51 publications

References 17 publications

Measuring the strength of cointegration and Granger-causality

Measuring the strength of cointegration and Granger-causality

Effectiveness of high interest rate policy on exchange rates: A reexamination of the Asian financial crisis

Empirical Vector Autoregressive Modeling

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