Markov switching causality and the money–output relationship
提出一种基于时变参数向量自回归模型的方法，用不可观测的马尔可夫链刻画格兰杰因果关系的随机变化，应用于美国数据后解释了以往货币-产出因果检验结果随样本期不同而矛盾的谜题。
Abstract The causal link between monetary variables and output is one of the most studied issues in macroeconomics. One puzzle from this literature is that the results of causality tests appear to be sensitive with respect to the sample period that one considers. As a way of overcoming this difficulty, we propose a method for analysing Granger causality which is based on a vector autoregressive model with time‐varying parameters. We model parameter time‐variation so as to reflect changes in Granger causality, and assume that these changes are stochastic and governed by an unobservable Markov chain. When applied to US data, our methodology allows us to reconcile previous puzzling differences in the outcome of conventional tests for money–output causality. Copyright © 2005 John Wiley & Sons, Ltd.