The dynamics of U.S. industrial production: A time-varying Granger causality perspective
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. […]