Long‐run Causality, with an Application to International Links Between Long‐term Interest Rates
在多变量非平稳（可能协整）框架下精确定义长期因果关系，提出基于Wald统计量的检验方法，并应用于1990-1997年美、德、法长期利率间的长期因果分析。
In this paper we give a precise definition of long‐run causality in a multivariate non‐stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long‐run if knowledge of the past of the former improves long‐run predictions of the latter. In a VAR framework, we show that long‐run non‐causality can be easily tested with a Wald statistics, conditionally on the cointegration rank. The methodology is used to study long‐run causal links between US, German, and French long‐term interest rates from January 1990 to June 1997.