On spurious Granger causality

DOI10.1016/S0165-1765(01)00498-0MaRDI QIDQ5958408zbMATH OpenOpenAlexFDO

Authors Zonglu He, Koichi Maekawa

Publication date 3 March 2002

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(01)00498-0

zbMATH Keywords

Granger causalitynon-stationary time seriesspurious causality

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• The spurious effect of unit roots on vector autoregressions. An analytical study

Cited in

(10)

• Detecting serial dependence in tail events: a test dual to the BDS test
• Tail Granger causalities and where to find them: extreme risk spillovers vs spurious linkages
• Spurious Granger causalities in integrated autoregressive moving average processes
• On the sensitivity of Granger causality to errors-in-variables, linear transformations and subsampling
• scientific article; zbMATH DE number 4199388 (Why is no real title available?)
• Granger causality test in the presence of spillover effects
• Asymptotics for out of sample tests of Granger causality
• Partial unit root and surplus-lag Granger causality testing: a Monte Carlo simulation study
• Aggregation over time, error correction models and Granger causality:
• Further analysis of spurious causality

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