Sunday, December 2, 2012

Some Recent Papers on Granger Causality

My various posts on testing for Granger non-causality seem to have been quite popular with readers of this blog.
For example, see here, here, here, here, and also see the Word-Count block in the right side-bar of this page.
The literature involving applications of non-causality testing continues to grow, even though it is now 43 years since Granger's seminal paper on the subject.  Regrettably, some of these applications are lacking in various respects, but there are many that are really excellent examples of  applied econometric analysis.
Contributions to the various theoretical and methodological issues surrounding the Granger causality literature also continue to emerge. Here are just a few such papers that have emerged in recent months.
These papers cover a lot of important ground, and they're well worth taking a look at if you have an interest in testing for Granger non-causality.
© 2012, David E. Giles