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

DOI10.1080/02664760050173346zbMATH Open1016.62108OpenAlexW2053333206MaRDI QIDQ4407101FDOQ4407101

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

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Mathematics Subject Classification ID

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

Cites Work

• Linear Statistical Inference and its Applications
• Title not available (Why is that?)
• Fully Modified Least Squares and Vector Autoregression
• Inference in Linear Time Series Models with some Unit Roots
• Vector Autoregressions and Causality
• Making wald tests work for cointegrated VAR systems
• The spurious effect of unit roots on vector autoregressions. An analytical study

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

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