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http://dx.doi.org/10.5351/KJAS.2013.26.3.401

Identifying the Chickens-Eggs Statistical Lead-Lag Dilemma  

Kim, Tae Ho (Department of Information Statistics, Chungbuk National University)
Kim, Min Jeong (Department of Information Statistics, Chungbuk National University)
Lee, Jeen Woan (Department of Information Statistics, Chungbuk National University)
Publication Information
The Korean Journal of Applied Statistics / v.26, no.3, 2013 , pp. 401-411 More about this Journal
Abstract
This study investigates the controversial chickens-eggs dilemma and empirically performs statistical tests to examine if there exists a causality between them. Granger and Hsiao tests are applied to both level and stationary variables to identify the lead-lag relationships. Each of these test is found to have the robust result where the causality runs from eggs to chickens; in addition, the explanatory power of one variable in variations of the other appears to remain time invariant. The outcome is proved to be valid as the hypothesis test for no structural change in their relationship fails to be rejected.
Keywords
Causality; chickens-eggs dilemma; cusum of squares test;
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Times Cited By KSCI : 2  (Citation Analysis)
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