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Non-causality in Cointegrated Systems: Representation Estimation and Testing Author info | Abstract | Publisher info | Download info | Related research | Statistics Mosconi, Rocco
Giannini, Carlo
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This paper addresses the problem of representing noncausality between two sets of cointegrated variables. In this case, maximum likelihood estimates of the parameters may be derived based on Johansen's approach. Likelihood ratio tests for noncausality are derived, which are different depending on the distributions of the unit roots in the marginal subsystem and the autoregressive part of the conditional subsystem. These tests are chi-squared-distributed. A Monte Carlo experiment illustrates t he advantages of the proposed approach when compared to the usual approach based on VAR's in levels. Copyright 1992 by Blackwell Publishing Ltd
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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics .
Volume (Year): 54 (1992)
Issue (Month): 3 (August)
Pages: 399-417
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Handle: RePEc:bla:obuest:v:54:y:1992:i:3:p:399-417Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
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