Scandinavian Working Papers in Economics
Working Papers,
Lund University, Department of Economics
No 2012:15: Estimating Long Memory Causality Relationships by a Wavelet Method
Yushu Li ()
Additional contact information
Yushu Li: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden
Abstract: The traditional causality relationship proposed by Granger (1969) assumes the relationships between variables are short range dependent with the same integrated order. Chen (2006) proposed a bi-variate model which can catch the long-range dependent among the two variables and the series do not need to be fractionally co-integrated. A long memory fractional transfer function is introduced to catch the long-range dependent in this model and a pseudo spectrum based method is proposed to estimate the long memory parameter in the bi-variate causality model. In recent years, a wavelet domain-based method has gained popularity in estimations of long memory parameter in unit series. No extension to bi-series or multi-series has been made and this paper aims to fill this gap. We will construct an estimator for the long memory parameter in the bi-variable causality model in the wavelet domain. The theoretical background is derived and Monte Carlo simulation is used to investigate the performance of the estimator.
Keywords: Granger causality; long memory; Monte Carlo simulation; wavelet domain
13 pages, May 21, 2012
Full text files
WP12_15.pdf
Questions (including download problems) about the papers in this series should be directed to Iker Arregui Alegria ()
Report other problems with accessing this service to Sune Karlsson ().
RePEc:hhs:lunewp:2012_015This page generated on 2024-09-13 22:16:10.