Causal change detection in possibly integrated systems: Revisiting the money-income relationship

• Main Authors: SHI, Shuping, HURN, Stan, PHILLIPS, Peter C. B.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: money-income causality; subsample Wald tests; time-varying Granger causality; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2398; https://ink.library.smu.edu.sg/context/soe_research/article/3397/viewcontent/GrangerCausality_Level_June2016_sv.pdf
• Institution: Singapore Management University

This paper re-examines changes in the causal link between money and income in the United States over the past half century (1959-2014). Three methods for the data-driven discovery of change points in causal relationships are proposed, all of which can be implemented without prior detrending of the d...