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How to study Granger Causality With Seasonality In Data?

Abbreviated Question: 
How to study Granger Causality With Seasonality In Data?
Answer: 

It is not a necessity to use a seasonally adjusted data for VAR and Granger Causality. If one, however, uses a data with seasonality for estimating VAR / Granger causality and does not do anything to deal with it, the results would capture both effects – one coming from the common seasonality and the other, which is not seasonal. Un-modeled seasonality tends to violate the constant parameter assumption of standard linear VAR models. Furthermore, it is important to determine the nature of seasonality – deterministic or stochastic.

SoFiE Financial Econometrics Summer School

Monday, July 24, 2017 - 12:00 pm to Friday, July 28, 2017 - 12:00 pm
Event Type: 

Location: Kellogg School of Management, Evanston, IL

Description: The Econometrics of Derivatives Markets

Application deadline: April 10, 2017

 

International Conference on New Trends in Econometrics and Finance

Friday, April 28, 2017 - 9:00 am to Saturday, April 29, 2017 - 5:00 pm
Event Type: 

Location: Sokos Hotel Presidentti, Helsinki, Finland

In the conference emphasis will be placed on the developments in emerging market economies, on the fate of the recent trends and of the impact of these developments on international trade, finance and regulation as well as on national economies and financial systems. Theoretical, empirical and policy-oriented papers are all welcome.
Abstract deadline: March 24, 2017

 

International Conference on New Trends in Econometrics and Finance

Friday, April 28, 2017 - 8:00 am to Saturday, April 29, 2017 - 5:00 pm

Location: Helsinki, Finland

Description: This conference serves as a forum for academics, practitioners, and central bank and government officials in Europe and all over the world to present and discuss research results about the evolution of the international economics and of the global financial system.

Abstract submission deadline: March 24, 2017 aioc.econometrics@gmail.com

What is reduced-form analysis?

Abbreviated Question: 
What is reduced-form analysis?
Answer: 

A “reduced-form” analysis, also often referred to as “non-structural” analysis, is the most common kind of econometric analysis performed by economists. The other kind, which you called “a non-reduced form,” is customarily referred to as “structural” analysis.