TY - JOUR
T1 - The dynamics of U.S. industrial production
T2 - A time-varying Granger causality perspective
AU - Baum, Christopher F.
AU - Hurn, Stan
AU - Otero, Jesús
N1 - Publisher Copyright:
© 2021 EcoSta Econometrics and Statistics
PY - 2021
Y1 - 2021
N2 - The concept of Granger causality is an important tool in applied macroeconomics. Recursive econometric methods to analyze the temporal stability of Granger-causal relationships have recently been developed. These recursive procedures are used to re-evaluate the temporal stability of Granger causality between US industrial production and three macroeconomic variables. There appears to be significant evidence of temporal variation in the causal relationships. A clear pattern that emerges from the results is that the causal channels from all three variables to industrial production appear to be very strong in the latter part of the sample period.
AB - The concept of Granger causality is an important tool in applied macroeconomics. Recursive econometric methods to analyze the temporal stability of Granger-causal relationships have recently been developed. These recursive procedures are used to re-evaluate the temporal stability of Granger causality between US industrial production and three macroeconomic variables. There appears to be significant evidence of temporal variation in the causal relationships. A clear pattern that emerges from the results is that the causal channels from all three variables to industrial production appear to be very strong in the latter part of the sample period.
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U2 - 10.1016/j.ecosta.2021.10.012
DO - 10.1016/j.ecosta.2021.10.012
M3 - Research Article
AN - SCOPUS:85119109897
SN - 2452-3062
JO - Econometrics and Statistics
JF - Econometrics and Statistics
ER -