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  • Short run and long run causality in time series: Inference 

    Dufour, Jean Marie; Pelletier, Denis; Renault, Éric (Université de Montréal. Département de sciences économiques., 2003)
    We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at ...