經濟學院學術論壇

主題：Granger’s non-causality and the Wald test of one-way effect

主講人：姚峰

主持人：趙 國慶

時間：2009-11-5（星期四） 下午2：00-

地點：明主 0408

ABSTRACT

Abstract：We first summarize the widely used Granger`s non-causality, and then show the approach to testing a variety of causal characteristics expressed in terms of the measures of one-way effect for cointegrated vector time series. In view of the proposed Wald test statistics, the confidence-set construction for the estimated causal measures is also showed. The new approach includes testing Granger`s non-causality as an instance of its multiple applications.

中國人民大學經濟學院

　　　　　　　　　　　　　　　　　　　　　　2009年11月2日

報告人簡介：

Current Positions:

Full Professor (with tenure, 2002)，Faculty of Economics, Kagawa University, Japan

Professional Experience:

Economist (1987-1995), SIC, State Planning Commission, China.

Editor board: (2006), International Journal of Economic Perspectives.

Visiting Professor (2008-2009), Department of Economics, University of Southern California, U.S.A.

Education

B.S. in Mathematics (1983), Jilin University, China

Master of law (1987), Jilin University, China

Ph.D. in Economics (1996), Tohoku University, Japan.