Further analysis of spurious causality

DOI10.1016/J.MATCOM.2008.04.011MaRDI QIDQ960364zbMATH OpenOpenAlexFDO

Authors Steven Cook

Publication date 17 December 2008

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2008.04.011

zbMATH Keywords

integrated time seriesGranger-causalityspurious rejection

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A Note on the Hiemstra-Jones Test for Granger Non-causality
• Feedback, causality and distance between ARMA models.
• GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Nonlinear Granger causality in the currency futures returns
• On spurious Granger causality

Cited in

(3)

• On the specification of Granger-causality tests using the cointegration methodology
• On the sensitivity of Granger causality to errors-in-variables, linear transformations and subsampling
• CAUSAL ANALYSIS AFTER HAAVELMO

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