By Manmatha Nath Bhattacharyya
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Extra info for Comparison of Box-Jenkins and Bonn Monetary Model Prediction Performance
Chatfield, C. L. Seasonal Forecasting: (1973). Box Jenkins Problems in a Case Study (with discussions), Journal of the Royal Statistical Society, ~, 136, 295-315. F. (1975). s. Economy, International Economic Review, 16, 54-74. L. (1972). G. ), Econometric Models of Cyclical Behaviour, Columbia University Press, New York. P. R. (1975). The ex-ante Prediction Performance of the St. -Penn. H. B. l, (1974). 1-32. Dynamic Modelling and Hu1tivariate Time Series for Use in Bank Analysis, Himeographed, Graduate School of Business, University of Wisconsin.
1) X causes Y instantaneously G 2 (Y 1A , XT ) < G2 (Y 1 A) Causality from Y to X is defined in the same manner. 2) Feedback occurs if X causes Y and Y causes X. It may be noted that the causality as defined above is not in the sense that one would usually understand, but as Granger noted (1973), it appears difficult to present an alternative definition of causality which can be tested empirically. The problem of assessment and detection of causality between two variables was studied by Granger (1969), Sims (1972), Haugh (1976), Pierce (1977), Pierce and Haugh (1977), and Haugh and Box (1977).
Time Series Modelling and Inter- pretation, Paper presented at European Economic Congress, Budapest. (1973). S. International Conference on Dynamic Modelling and Control, University of Warwick, Coventry, England. and Newbold, P. (1973). Some Comments on the Evaluation of Economic Forecasts, Applied Economics, ~, 35-47. (1974). Spurious Regressions in Econometrics, Journal of Econometrics, ~, 111-120. J. and Uewbold, P. (1975). A. ), Hodelling the Economy, Heinemann, London. J. (1976). D. ), Frontiers of Quantitative Economics, Vol.
Comparison of Box-Jenkins and Bonn Monetary Model Prediction Performance by Manmatha Nath Bhattacharyya