Multivariate-based causality tests of twin deficits in the US

Abdulnasser Hatemi-J, Ghazi Shukur

Research output: Contribution to journalArticlepeer-review

30 Citations (Scopus)

Abstract

This paper provides an alternative methodology for testing the causality direction between twin deficits in the US. Rao's multivariate F-test combined with the bootstrap simulation technique has appealing properties, especially when the data-generating process is characterized by unit roots. In addition the results show that the effect of structural breaks are of paramount importance when the causality tests are conducted. In much contemporary applied econometrics there is all-too-little attention given to the possibility of changes in the economic process.

Original languageEnglish
Pages (from-to)817-824
Number of pages8
JournalJournal of Applied Statistics
Volume29
Issue number6
DOIs
Publication statusPublished - 2002
Externally publishedYes

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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