NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Cheng Hsiao

Department of Economics
University of Southern California
Los Angeles, CA 90089-0253

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NBER Working Papers and Publications

March 1977Money And Income, Causality Detection
w0167
In this paper we intend to survey and suggest the theoretical framework of the important aspects of causality detection with the purpose of conveying to the reader the essential features and the different forms in which inferences may be drawn from given data. Section II presents the basic theorem characterizing the causality events and suggests two feedback detection methods which, like the one suggested by Pierce and Haugh (1977), are based on correlation analysis. In Section III we survey other well-known causality detection methods and try to relate and to compare them with the methods suggested in Section II. Section IV briefly reviews the theoretical controversy of the relationship between money and income and presents some empirical evidence based on the methods discussed in this pa...

Published: Hsiao, Cheng. "Autoregressive Modelling And Money-Income Causality Detection," Journal of Monetary Economics, 1981, v7(1), 85-106.

November 1976Efficient Estimation of a Dynamic Error-Shock Model
with P. M. Robinson: w0157
This paper is concerned with the estimation of the parameters in a dynamic simultaneous equation model with stationary disturbances under the assumption that the variables are subject to random measurement errors. The conditions under which the parameters are identified are stated. An asymptotically efficient frequency-domain class of instrumental variables estimators is suggested. The procedure consists of two basic steps. The first step transforms the model in such a way that the observed exogenous variables are asymptotically orthogonal to the residual terms. The second step involves an iterative procedure like that of Robinson [13].

Published: Hsiao, C. and P. M. Robinson. "Efficient Estimation Of A Dynamic Error-Shock Model," International Economic Review, 1978, v19(2), 467-480. citation courtesy of

 
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