Monte Carlo evidence on cointegration and causation

Article Abstract:

A Monte Carlo or artificial sampling experiment is conducted to assess the outcome of a likelihood ratio and two Wald tests for Granger non-causality in bivariate and trivariate cointegrated systems. The two tests are studied in comparison to a Wald test founded on a multivariate least squares evaluation of a modified vector autoregressive (VAR) model. Results reveal that the modified VAR test can be useful in evaluating causality and other dynamic related problems. The likelihood ratio test, however, is shown to excel over the other two in terms of power and size in small samples.

Research and Development in the Physical, Engineering, and Life Sciences, Economics, Research and Development in the Social Sciences and Humanities, Mathematics, Statistics, Research, Models, Econometrics, Monte Carlo method, Monte Carlo methods, Asymptotic expansions, Statistics (Mathematics), Vector analysis

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Human capital spillovers within the workplace: evidence for Great Britain

Article Abstract:

The authors use a unique worker-workplace matched data set to calculate the impact of co-worker education on other workers' earnings. This method is applied to Great Britain's 1998 Workplace Employee Relations Survey. Findings show that education-linked social returns are significantly positive, as an additional 1.2 years of education for one's colleagues translated into a 11.1% increase in one's earnings. Other economic findings are also discussed.

United Kingdom, Public affairs, Social aspects, Economic aspects, Demographic aspects, Work environment, Comparative analysis, Wages, Wages and salaries, Academic achievement, Human capital, Salary

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