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Identifier to cite or link to this item: https://hdl.handle.net/10086/14061

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Title
The Granger Non-Causality Test in Cointegrated Vector Autoregressions
Creator
Creator Name
Chigira, Hiroaki Chigira, Hiroaki
千木良, 弘朗 千木良, 弘朗
チギラ, ヒロアキ チギラ, ヒロアキ
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Yamamoto, Taku Yamamoto, Taku
山本, 拓 山本, 拓
ヤマモト, タク ヤマモト, タク
Affiliation
Affiliation Name
Hitotsubashi University
Editor
Contributor Name
社会科学における統計分析拠点構築 = Research Unit for Statistical Analysis in Social Sciences
Key Word
Vector autoregression
Cointegration
Granger causality
Hypothesis testing
JEL
C32
C12
Abstract
In general, Wald tests for the Granger non-causality in vector autoregressive (VAR) process are known to have non-standard asymptotic properties for cointegrated systems. However, that may have standard asymptotic properties depending on the rank of the submatrix of cointegration. In this paper, we propose a procedure for conducting Granger non-causality tests that are based on discrimination of these asymptotic properties. This paper also investigate the finite sample performance of our testing procedure, and compare the testing procedure with conventional causality tests in levels VAR's.
Description
The initial version of the paper was circulated as "The Granger Non-Causality Test in Possibly Cointegrated Systems".
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2003-12
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Hi-Stat Discussion paper series ; No. d03-07
Relation
Related Identifier
URI
  http://21coe.ier.hit-u.ac.jp/english/index.html
Number of Pages
30
Sponsorship
21世紀COEプログラム = 21st-Century COE Program
Appears in Collections
Hi-Stat Discussion paper series
URL
https://hdl.handle.net/10086/14061