Testing Granger Causality in the presence of threshold effects |
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Authors: | Jing |
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Institution: | aDepartment of Economics, Finance and Legal Studies, University of Alabama, Tuscaloosa, AL 35487, United States |
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Abstract: | This paper proposes a Granger Causality test allowing for threshold effects. The proposed test can be conducted on the basis of the threshold autoregressive distributed lag model or the augmented logistic smooth transition autoregressive model. The proposed test is applied to the U.S. civilian unemployment rate, and it is shown that real investment, real GDP and real interest rate are helpful for improving the in-sample fit of unemployment. |
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Keywords: | Granger Causality Threshold autoregressive model Smooth transition autoregressive model Time series Unemployment |
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