Measuring the strength of cointegration and Granger-causality

C-Tier
Journal: Applied Economics
Year: 2005
Volume: 37
Issue: 14
Pages: 1607-1614

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This study uses Poskitt and Tremayne's (1987) posterior odds ratio test and the associated model portfolio approach to measure the strength of the evidence from cointegration and Granger-causality tests. As an illustration of the methodology, the bivariate relationship between money and income in Canada is re-examined using historical data.

Technical Details

RePEc Handle
repec:taf:applec:v:37:y:2005:i:14:p:1607-1614
Journal Field
General
Author Count
1
Added to Database
2026-01-24