Year: 2004
Type: preprint
Abstract: The present paper proposes certain statistical tests, both \nconceptually simple and computationally easy, for analysing state-specific \nprima facie probabilistic causality and error correction mechanism in \nthe context of a Markov chain of time series data arranged in a \ncontingency table of present versus previous states. It thus shows that \nerror correction necessarily follows causality (that is temporal \ndependence) or vice versa, suggesting apparently that the two represent \nthe same aspect! The result is applied to an analysis of inflation in India \nduring the last three decades separately and also together based on the \nmonthly general price level (WPI - all commodities) and 23 constituent \ngroups/items, as well as on the three consumer price index (CPI) numbers. \nKeywords: Markov chain; Steady state probability; India; Inflation; \nReturn period. \nJEL Classification: E31, C1
Author: N. Viyayamohanan Pillai
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2081482575