Further analysis of spurious causality

DOI10.1016/J.MATCOM.2008.04.011zbMATH Open1152.62364OpenAlexW1984802131MaRDI QIDQ960364FDOQ960364

Authors: Steven Cook 

Publication date: 17 December 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.04.011

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zbMATH Keywords

integrated time seriesGranger-causalityspurious rejection

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• A Note on the Hiemstra-Jones Test for Granger Non-causality
• Nonlinear Granger causality in the currency futures returns
• Feedback, causality and distance between ARMA models.
• GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries
• On spurious Granger causality

Cited In (2)

• CAUSAL ANALYSIS AFTER HAAVELMO
• On the specification of Granger-causality tests using the cointegration methodology

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