Tests for Predictive Relationships between Time Series Variables: A Monte Carlo Investigation

References

• Bartlett , M. S. 1955 . Stochastic Processes , London : Cambridge University Press .
   Google Scholar
• Cochrane , D. and Orcutt , G. H. 1949 . “Application of Least Squares Regression to Relationships Containing Autocorrelated Error Terms,” . Journal of the American Statistical Association , 44 : 32 – 61 .
   Web of Science ®Google Scholar
• Durbin , J. 1970 . “Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables,” . Econometrica , 38 : 410 – 421 .
   Web of Science ®Google Scholar
• Feige , Edgar L. and Pearce , Douglas K. 1976 . “Economically Rational Expectations: Are Innovations in the Rate of Inflation Independent of Innovations in Measures of Monetary and Fiscal Policy?,” . Journal of Political Economy , 84 : 499 – 522 .
   Web of Science ®Google Scholar
• Feige , Edgar L. and Pearce , Douglas K. 1979 . “The Casual Causal Relationship Between Money and Income: Some Caveats for Time Series Analysis,” . Review of Economics and Statistics , 61 : 521 – 533 .
   Web of Science ®Google Scholar
• Geweke , John . 1981a . “A Comparison of Tests of the Independence of Two Covariance-Stationary Time Series,” . Journal of the American Statistical Association , 76 : 363 – 373 .
   Web of Science ®Google Scholar
• Geweke , John . 1981b . “The Approximate Slopes of Econometric Tests,” . Econometrica , (forthcoming)
   PubMed Web of Science ®Google Scholar
• Geweke , John , Meese , Richard and Dent , Warren . 1979 . “Comparing Alternative Tests of Causality in Temporal Systems: Analytic Results and Experimental Evidence,” . Journal of Econometrics , in press
   PubMedGoogle Scholar
• Granger , C. W. J. 1969 . “Investigating Causal Relations by Econometric Models and Cross-Spectral Methods,” . Econometrica , 37 : 424 – 438 .
   Web of Science ®Google Scholar
• Granger , C. W. J. 1973 . “Causality, Model Building and Control: Some Comments,” , University of Nottingham . unpublished manuscript
   Google Scholar
• Guilkey , David K. and Salemi , Michael K. 1979 . “Small Sample Properties of Three Tests for Granger-Causal Ordering in a Bivariate Stochastic System,” , University of North Carolina . unpublished manuscript
   Google Scholar
• Hannan , E. J. 1970 . Multiple Time Series , New York : John Wiley .
   Google Scholar
• Haugh , Larry D. 1972 . “The Identification of Time Series Interrelationships with Special Reference to Dynamic Regression,” , University of Wisconsin, Dept. of Statistics . unpublished doctoral dissertation
   Google Scholar
• Haugh , Larry D. 1976 . “Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross Correlation Approach,” . Journal of the American Statistical Association , 71 : 378 – 385 .
   Web of Science ®Google Scholar
• Hsiao , Cheng . 1979 . “Autoregressive Modeling of Canadian Money and Income Data,” . Journal of the American Statistical Association , 74 : 553 – 560 .
   Web of Science ®Google Scholar
• Hsiao , Cheng . 1981 . “Autoregressive Modeling and Money-Income Causality Detection,” . Journal of Monetary Economics , 7 : 85 – 106 .
   Web of Science ®Google Scholar
• Jacobs , Rodney L. , Leamer , Edward E. and Ward , Michael P. 1979 . “Difficulties With Testing for Causation,” . Economic Inquiry , 17 : 401 – 413 .
   Web of Science ®Google Scholar
• Kinderman , A. J. and Ramage , J. G. 1976 . “Computer Generation of Normal Random Variables,” . Journal of the American Statistical Association , 71 : 893 – 896 .
   Web of Science ®Google Scholar
• Nelson , Charles R. “Discussion of the Zellner and Schwert Papers,” . Carnegie-Rochester Conference Series on Public Policy . Vol. 10 , pp. 97 – 101 . (supplement to Journal of the Monetary Economics)
   Google Scholar
• Pierce , David A. 1977a . “Relationships—and the Lack Thereof—Between Economic Time Series, With Special Reference to Money and Interest Rates,” . Journal of the American Statistical Association , 72 : 11 – 22 .
   Web of Science ®Google Scholar
• Pierce , David A. 1977b . “Rejoinder,” . Journal of the American Statistical Association , 72 : 24 – 26 .
   Web of Science ®Google Scholar
• Pierce , David A. and Haugh , Larry D. 1977 . “Causality in Temporal Systems: Characterizations and a Survey,” . Journal of Econometrics , 5 : 265 – 294 .
   Google Scholar
• Sargent , Thomas J. 1976 . “A Classical Econometric Model of the United States,” . Journal of Political Economy , 84 : 207 – 237 .
   Web of Science ®Google Scholar
• Schwert , William G. “Tests of Causality: The Message in the Innovations,” . Carnegie-Rochester Conference Series on Public Policy . Vol. 10 , pp. 55 – 96 . (supplement to Journal of Monetary Economics)
   Google Scholar
• Sims , Christopher A. 1972 . “Money, Income, and Causality,” . American Economic Review , 62 : 540 – 552 .
   Web of Science ®Google Scholar
• Sims , Christopher A. 1977 . “Comment,” . Journal of the American Statistical Association , 72 : 23 – 24 .
   Web of Science ®Google Scholar
• Wallis , Kenneth F. 1977 . “Multiple Time Series Analysis and the Final Form of Econometric Models,” . Econometrica , 45 : 1481 – 1498 .
   Web of Science ®Google Scholar
• Zellner , Arnold . “Causality and Econometrics,” . Carnegie-Rochester Conference Series on Public Policy . Vol. 10 , pp. 9 – 54 . (supplement to Journal of Monetary Economics)
   Google Scholar
• Zellner , Arnold and Palm , Franz . 1974 . “Time Series Analysis and Simultaneous Equation Econometric Models,” . Journal of Econometrics , 2 : 17 – 54 .
   Google Scholar