Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions
DOI10.1080/03610920601036366zbMATH Open1114.62085OpenAlexW2025829360MaRDI QIDQ3593523FDOQ3593523
Authors: Hiroaki Chigira, Taku Yamamoto 
Publication date: 23 July 2007
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610920601036366
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Cites Work
- Statistical analysis of cointegration vectors
- Fully Modified Least Squares and Vector Autoregression
- Inference in possibly integrated vector autoregressive models: Some finite sample evidence
- Statistical inference in vector autoregressions with possibly integrated processes
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Inference in Linear Time Series Models with some Unit Roots
- Making wald tests work for cointegrated VAR systems
- Title not available (Why is that?)
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Modified lag augmented vector autoregressions
- Vector autoregression and causality: a theoretical overview and simulation study
- Tests for Long-Run Granger Non-Causality in Cointegrated Systems
- The spurious effect of unit roots on vector autoregressions. An analytical study
Cited In (9)
- A Note on the Hiemstra-Jones Test for Granger Non-causality
- Vector autoregression and causality: a theoretical overview and simulation study
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- Some theoretical and simulation results on the frequency domain causality test
- On the specification of Granger-causality tests using the cointegration methodology
- A graphical investigation of the size and power of the Granger-causality tests in integrated-cointegrated VAR systems
- Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
- A comparison of some common methods for detecting Granger noncausality
- A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems
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