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Granger Causality and Regime Inference in Markov Switching VAR Models with Ba...
In this paper, we derive restrictions for Granger noncausality in MS-VAR models and show under what conditions a variable does not affect the forecast of the hidden Markov... -
Efficient tests of long-run causation in trivariate VAR processes with a roll...
This paper develops a simple sequential multiple-horizon non-causation test strategy for trivariate VAR models (with one auxiliary variable). We apply the test strategy to a... -
The demand for M3 in the euro area (replication data)
In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with... -
Money stock targeting and money supply: A closer examination of the data (rep...
In a recent paper Mercenier and Sekkat (1988) use a linear-quadratic model to examine the willingness of a monetary authority in a small open economy to target its exchange...
