Tests for Long-Run Granger Non-Causality in Cointegrated Systems

DOI10.1111/J.1467-9892.2006.00484.XMaRDI QIDQ3440764zbMATH OpenOpenAlexFDO

Authors Taku Yamamoto, Eiji Kurozumi

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/16968/070econDP03-12.pdf

zbMATH Keywords

best linear predictionhypothesis testingmaximum likelihood estimatevector autoregression

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Geometric and long run aspects of Granger causality
• Vector Autoregressions and Causality
• Non-causality in VAR-ECM models with purely exogenous long-run paths
• Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models

Cites work

• Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
• EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Fully Modified Least Squares and Vector Autoregression
• scientific article; zbMATH DE number 3373921 (Why is no real title available?)
• Impulse response analysis of cointegrated systems
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Inference in Linear Time Series Models with some Unit Roots
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Short Run and Long Run Causality in Time Series: Theory
• Statistical analysis of cointegration vectors
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical inference in vector autoregressions with possibly integrated processes
• THE RANK OF A SUBMATRIX OF COINTEGRATION
• The spurious effect of unit roots on vector autoregressions. An analytical study

Cited in

(13)

• Non-causality in VAR-ECM models with purely exogenous long-run paths
• Noncausality in VAR-ECM models with purely exogeneous long-run paths
• Geometric and long run aspects of Granger causality
• Short and long run causality measures: theory and inference
• Short run and long run causality in time series: inference
• Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions
• Short Run and Long Run Causality in Time Series: Theory
• Nonparametric Test for Causality with Long-range Dependence
• Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
• On causal and non-causal cointegrated vector autoregressive time series
• Testing for Granger causality with mixed frequency data
• Speed of adjustment in cointegrated systems
• On the specification of Granger-causality tests using the cointegration methodology

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