A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems

DOI10.1080/02664760050173346MaRDI QIDQ4407101zbMATH OpenOpenAlexFDO

Authors Ghazi Shukur, Panagiotis Mantalos

Publication date 20 August 2003

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760050173346

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• A graphical investigation of the size and power of the Granger-causality tests in integrated-cointegrated VAR systems
• Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions
• Making wald tests work for cointegrated VAR systems
• Vector autoregression and causality: a theoretical overview and simulation study
• Testing for Granger causality in variance in the presence of causality in mean

Cites work

• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• Fully Modified Least Squares and Vector Autoregression
• Inference in Linear Time Series Models with some Unit Roots
• Linear Statistical Inference and its Applications
• Making wald tests work for cointegrated VAR systems
• The spurious effect of unit roots on vector autoregressions. An analytical study
• Vector Autoregressions and Causality

Cited in

(8)

• Vector autoregression and causality: a theoretical overview and simulation study
• A theoretical and simulation analysis on the power of the frequency domain causality test
• A graphical investigation of the size and power of the Granger-causality tests in integrated-cointegrated VAR systems
• Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors
• Granger causality test in the presence of spillover effects
• Multivariate-based causality tests of twin deficits in the US
• The effect of spillover on the Granger causality test
• Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions

This page was built for publication: A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4407101)