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Testing subspace Granger causality

Al-Sadoon, M.

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The methodology of multivariate Granger non-causality testing at various horizons is extended to allow for inference on its directionality. Empirical manifestations of these subspaces are presented and useful interpretations for them are provided. Simple vector autoregressive models are used to estimate these subspaces and to find their dimensions. The methodology is illustrated by an application to empirical monetary policy, where a conditional form of Okun’s law is demonstrated as well as a statistical monetary policy reaction function to oil price changes.


Al-Sadoon, M. (2019). Testing subspace Granger causality. Econometrics and Statistics, 9, 42-61.

Journal Article Type Article
Acceptance Date Aug 15, 2017
Online Publication Date Aug 24, 2017
Publication Date Jan 1, 2019
Deposit Date Aug 15, 2018
Publicly Available Date Aug 24, 2018
Journal Econometrics and Statistics
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 9
Pages 42-61
Public URL


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