Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions

DOI10.1080/03610920601036366MaRDI QIDQ3593523zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

hypothesis testingcointegrationvector autoregressionGranger causalitylong-term interest rates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Tests for Long-Run Granger Non-Causality in Cointegrated Systems
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Cites work

• scientific article; zbMATH DE number 3373921 (Why is no real title available?)
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Fully Modified Least Squares and Vector Autoregression
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Inference in Linear Time Series Models with some Unit Roots
• Inference in possibly integrated vector autoregressive models: Some finite sample evidence
• Making wald tests work for cointegrated VAR systems
• Modified lag augmented vector autoregressions
• Statistical analysis of cointegration vectors
• Statistical inference in vector autoregressions with possibly integrated processes
• Tests for Long-Run Granger Non-Causality in Cointegrated Systems
• The spurious effect of unit roots on vector autoregressions. An analytical study
• Vector autoregression and causality: a theoretical overview and simulation 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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