Applied macroeconomists often compute confidence intervals for impulse responses using
local projections, that is, direct linear regressions of future outcomes on current covariates …

This is the first paper in a series of two that synthesizes, compares, and extends methods for
causal inference with longitudinal panel data in a structural equation modeling (SEM) …

The framework of Geweke (1982. Journal of the American Statistical Association 77, 304–
324.) and Hosoya (1991. Probability Theory and Related Fields 88, 429–444.) is adopted to …

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 …

Model selection has an important impact on subsequent inference. Ignoring the model
selection step leads to invalid inference. We discuss some intricate aspects of data-driven …

Since the pioneering work by Granger (1969), many authors have proposed tests of
causality between economic time series. Most of them are concerned only with “linear …

The purpose of this study is to re-investigate the relationship between electricity
consumption and economic growth in Malaysia from 1972: 1 to 2003: 4. This study adopted …

This paper proposes a new measure of contagion, based on the frequency analysis of
causality developed recently by Breitung and Candelon [Breitung, J., Candelon, B. 2006 …

Different causal mechanisms have been proposed to link commodity prices and exchange
rates, with opposing implications. We examine these causal relationships empirically, using …

We develop Granger causality tests that apply directly to data sampled at different
frequencies. We show that taking advantage of mixed frequency data allows us to better …