• We employ panel cointegration and Granger causality methods for a panel of twenty four agricultural products based on monthly prices ranging from January 1980 to February 2010. (metu.edu.tr)
  • The causality result shows unidirectional causality running from inward FDI to aggregate imports in the country. (uni-muenchen.de)
  • According to the Pairwise Granger causality test, there is evidence of both unidirectional and bidirectional causation between the research variables. (frontiersin.org)
  • A panel Granger causality analysis revealed a unidirectional causality between importing countries' production of other vegetable oils and Malaysian exports of palm oil. (repec.org)
  • The results of granger non causality indicate that unidirectional causality runs from financial development indicators to human development index (HDI). (deepdyve.com)
  • We also find evidence of both unidirectional causality and bidirectional causality among the variables, a finding that has implications for policy recommendations. (uwi.edu)
  • Using the autoregressive distributed lag bounds test approach to determine cointegration and long-run estimates among the variables and the Toda-Yamamoto test to examine longrun causality between the variables, we find a positive relationship between energy exports and GDP per capita and a negative relationship between manufacturing exports and GDP per capita. (uwi.edu)
  • En utilisant le modèle autorégressif à retards échelonnés ou distribués pour déterminer la cointégration et les estimations à long terme entre les variables et le test de Toda-Yamamoto pour examiner la causalité à long terme entre les variables, nous trouvons une relation positive entre les exportations d'énergie et le PIB par habitant et une relation négative entre les exportations manufacturières et le PIB par habitant. (uwi.edu)
  • Before doing a panel data analysis, I'd like to run a Granger Causality Test between the potential FDI determinants time series (GDP, exchange rate, ecc. (stackexchange.com)
  • I would just use the Granger causality test as a method of analysis. (stackexchange.com)
  • I found this post quite useful on how to conduct and interpret a Granger causality test (it is done in R). Be aware that the null hypothesis is one on non Granger causality. (stackexchange.com)
  • We also find evidence of the bidirectional Granger causality between the exports and the imports explained by the significant interactions between the two variables. (uni-muenchen.de)
  • Efficiency in Agricultural Commodities Futures Markets in India: Evidence from Cointegration and Causality Tests", Agricultural Finance Review, Vol 71(2), 162-178, 2011. (iiml.ac.in)
  • The study employs an econometric methodology consisting of unit root testing, co-integration analysis, vector error correction modeling and Granger causality testing. (vu.nl)
  • In this study, the long-term relationship and the short-term causality between stock price index and the trading volume and the direction o f the causality is investigated in the context o f a small stock market, the Istanbul Stock Exchange in Türkiye by using cointegration theory and Vector Error Correction Model. (9lib.net)
  • The study also seeks to determine the strength of the link between the independent parameters and the dependent parameter ie BSE Sensex in the short run and long run based on the test of Johansen Cointegration, Granger Causality, and the Vector Error Correction mechanism. (edu.au)
  • The analysis through the Vector Error Correction Model (VECM) confirms that there exists a long-run causality between the macroeconomic variables of Index of Industrial Production (IIP), inflation, interest rates, gold prices, exchange rate, foreign institutional investment, money supply and BSE Sensex. (edu.au)
  • Granger's principal achievements - so-called Granger causality and co-integration - were acclaimed as having helped build the statistical plumbing of modern economics and finance. (telegraph.co.uk)
  • Granger's non-causality test and variance decomposition techniques are also used to examine the impact of financial development indicators on human development. (deepdyve.com)
  • Causality tests in the Granger's sense are increasingly applied in empirical research. (lu.se)
  • Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money, Oxford Bulletin of Econometrics and Statistics, 52, 169-210. (uni-muenchen.de)
  • The results of Engle-Granger, Johansen and cointegration tests are ambiguous while the Breitung test infirmed the hypothesis of cointegration between exports and imports. (uni-muenchen.de)
  • Various robust checks such as Maki cointegration, Johansen cointegration test, fully modified ordinary least square, dynamic ordinary least square, and canonical cointegration regression corroborate the results. (hindawi.com)
  • Applying the ARDL approach to cointegration, this study investigates the impact of voice and accountability, terrorism, infrastructure, and savings on innovation in Pakistan. (hindawi.com)
  • Husted, S. (1992): The emerging U.S. current account deficit in the 1980s: A cointegration analysis. (uni-muenchen.de)
  • Cointegration and Causality Analysis for Pakistan. (wikipedia.org)
  • de Mello, L. R. and Fukasaku, K. (2000), Trade and Foreign Direct Investment in Latin America and Southeast Asia: Temporal Causality Analysis, Journal of International Development, 7, 903-924. (uni-muenchen.de)
  • Since the unit root revolution in time-series analysis, several modifications of tests for causality have been introduced in the literature. (lu.se)
  • Arize, A. C. (2002): Imports and exports in 50 countries tests of cointegration structural breaks, International Review of Economics and Finance, 11, pg. (uni-muenchen.de)
  • In economics, Granger causality (Granger, 1969) is a well- known concept and one of the most applied methods in applied research. (lu.se)
  • We test the cointegration and causality between the two variables. (uni-muenchen.de)
  • If the time series are non-stationary (I've already discovered it with a ADF test) could I (in any case) run the Granger CT or should I have to make time series stationary with some cointegration process before? (stackexchange.com)
  • Fix cointegration test erroring on eigenvalues. (eviews.com)
  • Improve error handling in Granger causality tests when there are insufficient observations to compute test regressions. (eviews.com)
  • The cointegration results suggest that there exists a unique significant positive long-run equilibrium relationship between inward FDI and aggregate imports in Pakistan. (uni-muenchen.de)
  • The study applied panel cointegration and causality approaches based on data from 10 main palm oil importing countries between 2004 and 2018. (repec.org)
  • This paper employs cointegration and Granger causality tests to determine a relationship between the Spanish and the German inflation for the sample period 1976:1-1999:4 employing quarterly data. (ersj.eu)
  • The results suggest that there is a bi-directional causality between German and Spanish inflation for the entire period as well as for the first sub-period. (ersj.eu)
  • It establishes that there does exist a short run causality between Inflation and BSE Sensex and Money Supply and BSE Sensex. (edu.au)
  • Engle, R.F. and Granger, C.W.J. (1987): Cointegration and error correction: representation, estimation and testing. (uni-muenchen.de)
  • Granger causality and long-run structural estimation. (monash.edu)
  • that long-run Granger causality runs from the total fertility rate to the female labour force participation rate and that a 1-per cent increase in the total fertility rate results in a 0.4 per cent decrease in the female labour force participation rate for the G7 countries. (monash.edu)
  • In addition, a new causality approach i. (metu.edu.tr)
  • Based on a production process, the study employs a case study approach applied to Ecuador, and uses cointegration and Granger causality analyses to assess the connectedness between the two constructs. (ucf.edu)
  • This paper examines the relationship between the female labour force participation rate and total fertility rate for the G7 countries over the period 1960 to 2004 using panel unit root, panel cointegration. (monash.edu)
  • Granger causality is determined by discovering whether including the past values of a variable in the information set can improve the forecast of another variable. (lu.se)
  • He first came to notice in the 1960s with his work on time series and the development of the concept of Granger causality, an idea rooted in the work of the mathematician Norbert Wiener. (telegraph.co.uk)
  • The definition of causality in the Granger sense is based on the idea that the past cannot be caused by the present or future. (lu.se)
  • There is a unidirectional causality running from GDP to FRG but encountered with a unidirectional causality running from FDI to GDP. (inderscience.com)
  • A unidirectional causality from economic growth to international trade and FDI, and from international trade and energy consumption to FDI is also identified. (repec.org)
  • The empirical results are as follows: i) Both variables are nonstationary in levels and stationary in the first differences with/without structural breaks, ii) there exists a longrun relationship between variables, iii) there is unidirectional causality running from the electricity consumption to economic growth. (ipe.ro)
  • Bidirectional causality exists between GDP and current account deficit. (inderscience.com)
  • The heterogeneous panel causality test results indicate bidirectional causality between energy consumption and economic growth, labour force and economic growth, international trade and energy consumption, and labour force and international trade. (repec.org)
  • Panel Fourier Toda-Yamamoto causality test was used to determine the causality relationship between public expenditures and environmental pollution and the result indicates that there is bidirectional causality between public expenditures and CO2 on a panel basis. (bvsalud.org)
  • The causal relationship between defence spending and income inequality is examined by employing the VECM Granger causality approach. (uni-muenchen.de)
  • Method/Tools: We conduct the cointegration and non-linear causality tests between Indonesia local commodity spot prices and global commodity futures prices using bi-variate VAR/VECM methodology. (repec.org)
  • The present study focuses on the cointegration between Non-Tax Revenue (NTR) and State Domestic Product (SDP) of 20 states in India. (econbiz.de)
  • This paper investigates the short-run and long-run causality issues between electricity consumption and economic growth in Turkey by using the co-integration and vector error-correction models with structural breaks. (ipe.ro)
  • The study also explores the causal relationship between these variables in terms of the three error-correction based Granger causality models. (ipe.ro)
  • Export-led growth: A survey of empirical literature and some non causality results, Part 1. (uni-muenchen.de)
  • The panel co-integration test, panel quantile regression method, impulse response function and heterogeneous panel causality test are used for empirical investigation. (repec.org)
  • Exchange rate volatility and foreign capital inflows in Nigeria: Cointegration, dols and granger causality approach. (iosrjournals.org)
  • As for the short-run causality, the Granger test suggests that the hypothesis of non-causality from manufactured exports to economic growth cannot be rejected (p = 0.41). (lse.ac.uk)
  • The causality analysis reveals that defence spending Granger causes income inequality and feedback effect exists between income inequality and economic growth. (uni-muenchen.de)
  • Causality and cointegration of stock market among the United States, Japan, and the South China growth triangle. (cscanada.net)
  • As for the imports-economic growth nexus, short-run causality runs from economic growth to primary imports (p = 0.03) and to manufactured imports (p = 0.02). (lse.ac.uk)
  • Cointegration and Causality Analysis for Pakistan. (wikipedia.org)
  • To complete the analysis of cointegration and causality, we use the data of Floros and Failler (2004) and Avdelas (2004). (oregonstate.edu)
  • An application of Cointegration and Causality Analysis for Egypt 1997-2003. (uni-muenchen.de)
  • Thus, an appropriate step in the investigation of whether PPP and UIP hold is essential to improve the power of cointegration analysis. (scirp.org)
  • For cointegration, Westerlund cointegration test was used, and according to the analysis result there is a cointegration relationship between general government expenditure and environmental pollution. (bvsalud.org)
  • Military Spending and Income Inequality: Evidence on Cointegration and Causality for Turkey, 1963-2007. (uni-muenchen.de)
  • This paper re-examines the evidence of causality and price transmission between fish prices of main species landed into Piraeus (Greece) and Cornwall (UK). (oregonstate.edu)
  • For this purpose, we have applied the ARDL bounds testing approach to cointegration for long run relationship in the presence of structural breaks arising in the series. (uni-muenchen.de)
  • After finding the variables were non-stationary with no co-integration, a VAR model was used to investigate the short-run relationship in the variables using Granger causality, impulse response functions and variance decomposition estimates. (grin.com)
  • The result reveals that this simple modification is not trivial: cointegration among prices, interest rates and the exchange rate would not exist without adding expectations. (scirp.org)
  • Findings: The results show that using Indonesian commodity prices, local commodity spot prices and global commodity futures prices are cointegrated and have bi-directional causality, which contains important information about commodity pricing. (repec.org)
  • The first question is why the cointegration relationship is often investigated between prices, interest rates and the contemporaneous, not the expected future exchange rate? (scirp.org)
  • In the long run, for states like Kerala, Madhya Pradesh and Maharashtra, two-way causality with a positive direction has been found in between NTR and SDP. (econbiz.de)
  • Modification of the variables under study, however, may increase the possibility of finding cointegration. (scirp.org)
  • This paper shows that either a failure of PPP or UIP does result in non-rejection of no-cointegration. (scirp.org)
  • For a program that just calculates p-values for our statistic, see Valentyn Panchenko's software ] See: Diks, C. and Panchenko, V. (2006) A new statistic and practical guidelines for nonparametric Granger causality testing , Journal of Economic Dynamics and Control 30 (9-10), 1647-1669. (uva.nl)