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

DOI10.1080/03610920601036366zbMath1114.62085MaRDI QIDQ3593523

Taku Yamamoto, Hiroaki Chigira

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 testing; cointegration; Granger causality; vector autoregression; long-term interest rates

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

65C05: Monte Carlo methods

62M07: Non-Markovian processes: hypothesis testing

Cites Work

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• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models