Granger causality

Growth and Volatility; Why Duration Matters for Long Run Macroeconomic Outcomes
In this paper we revisit the busy debate over the relationship between volatility and growth.
Juergen AMANN, Paul MIDDLEDITCH
Jul 19, 2023
Testing the debt threshold hypothesis: A structural break threshold Granger causality test under cross-sectional dependence
This paper proposes a new method to test for regime-dependent Granger causality in a cross-sectionally dependent panel data setting using vector autoregressive (VAR) models and seemingly unrelated regressions (SUR).
Juergen AMANN
Jul 19, 2023