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Titolo: Multivariate star analysis of money-output relationship
Autore: Rothman, P; van Dijk, D; Franses, PH;
- Indirizzi:
- Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands Erasmus Univ Rotterdam Netherlands NL-3000 DR DR Rotterdam, Netherlands E Carolina Univ, Greenville, NC 27858 USA E Carolina Univ Greenville NC USA 27858 na Univ, Greenville, NC 27858 USA
- Titolo Testata:
- MACROECONOMIC DYNAMICS
fascicolo: 4,
volume: 5,
anno: 2001,
pagine: 506 - 532
- SICI:
- 1365-1005(200109)5:4<506:MSAOMR>2.0.ZU;2-S
- Fonte:
- ISI
- Lingua:
- ENG
- Soggetto:
- TRANSITION AUTOREGRESSIVE MODELS; PRICE MACROECONOMY RELATIONSHIP; IMPULSE-RESPONSE ANALYSIS; GRANGER CAUSALITY; INCOME CAUSALITY; PREDICTIVE ABILITY; REGRESSION; TESTS; COINTEGRATION; SPECIFICATION;
- Keywords:
- nonlinear Granger causality; Akaike information criterion; prediction; multivariate nonlinear time-series model;
- Tipo documento:
- Article
- Natura:
- Periodico
- Settore Disciplinare:
- Social & Behavioral Sciences
- Citazioni:
- 54
- Recensione:
- Indirizzi per estratti:
- Indirizzo: Franses, PH Erasmus Univ, Inst Econometr, POB 1738, NL-3000 DR Rotterdam, Netherlands Erasmus Univ POB 1738 Rotterdam Netherlands NL-3000 DR rlands
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- Citazione:
- P. Rothman et al., "Multivariate star analysis of money-output relationship", MACROECON D, 5(4), 2001, pp. 506-532
Abstract
This paper investigates the potential for nonlinear Granger causality frommoney to output. Using a standard four-variable linear (subset) vector error-correction model (VECM), we first show that the null hypothesis of linearity can be rejected against the alternative of smooth-transition autoregressive nonlinearity. An interesting result from this stage of the analysis is that the yearly growth rate of money is identified as one of the variables that may govern the switching between regimes. Smooth-transition VECM's (STVECM's) are then used to examine whether there is nonlinear Granger causality in the money-output relationship in the sense that lagged values of money enter the model's output equation as regressors. We evaluate this type of nonlinear Granger causality with both in-sample and out-of-sample analyses. For the in-sample analysis, we compare alternative models using the Akaike information criteria, which can be interpreted as a predictive accuracytest. The results show that allowing for both nonlinearity and for money-output causality leads to considerable improvement in model's in-sample performance. By contrast, the out-of-sample forecasting results do not suggest that money is nonlinearly Granger causal for output. They also show that, according to several criteria, the linear VECM's dominate the STVECM's. However, these forecast improvements seldomly are statistically significant at conventional levels.
ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 25/05/13 alle ore 20:55:58