Partial unit root and surplus-lag Granger causality testing: a Monte Carlo simulation study

DOI10.1080/03610926.2017.1295077MaRDI QIDQ4606471zbMATHOpenAlexFDO

Authors Lingxiang Zhang

Publication date 7 March 2018

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2017.1295077

zbMATH Keywords

robustMonte Carlo simulationGranger causalitypartial unit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Persistence-robust surplus-lag Granger causality testing
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• On spurious Granger causality
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• PARTIALLY LINEAR MODELS WITH UNIT ROOTS

Cites work

• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Making wald tests work for cointegrated VAR systems
• Persistence-robust surplus-lag Granger causality testing
• Statistical inference in vector autoregressions with possibly integrated processes
• Testing for a unit root against transitional autoregressive models
• Threshold Autoregression with a Unit Root
• Threshold Cointegration

Cited in

(1)

• Persistence-robust surplus-lag Granger causality testing

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