Non-causality in VAR-ECM models with purely exogeneous long-run paths
AbstractWe propose in this paper a framework based on a canonical representation of the long run matrix, which can constitute a basis for Granger non-causality testing in a VAR-ECM model using asymptotically Chi-square distributed Wald test statistics, and that unlike Giannini and Mosconi (1992), permits to clearly distinguish the nullity of some parameter blocks we can always achieve without any loss of generality, of the nullity of the parameter blocks resulting from the non-causality property. This canonical representation requires to determine the specific rank of a particular sub-matrix, which can be done using sequential test procedure, whose properties are analysed in small and large samples with Monte Carlo experiments.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 67 (2000)
Issue (Month): 2 (May)
Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Rault, Christophe, 2000. "Non-causality in VAR-ECM models with purely exogenous long-run paths," Economics Letters, Elsevier, vol. 66(1), pages 7-15, January.
- Rault, C., 1999. "Non-Causality in VAR-ECM Models with Purely Exogeneous Long-Run Paths," Papiers d'Economie MathÃÂ©matique et Applications 1999.44, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mosconi, Rocco & Giannini, Carlo, 1992. "Non-causality in Cointegrated Systems: Representation Estimation and Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 399-417, August.
- Psaradakis, Zacharias, 1994. "A comparison of tests of linear hypotheses in cointegrated vector autoregressive models," Economics Letters, Elsevier, vol. 45(2), pages 137-144, June.
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
- Hunter, John, 1992. "Tests of cointegrating exogeneity for PPP and uncovered interest rate parity in the United Kingdom," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 453-463, August.
- Christophe Rault, 2004.
"Further results on weak-exogeneity in vector error correction models,"
Econometric Society 2004 Far Eastern Meetings
402, Econometric Society.
- Christophe Rault, 2005. "Further Results on Weak-Exogeneity in Vector Error Correction Models," Documents de recherche 05-12, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- L'Horty, Yannick & Rault, Christophe, 2003. "The Impact of Growth, Labour Cost and Working Time on Employment: Lessons from the French Experience," IZA Discussion Papers 871, Institute for the Study of Labor (IZA).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If references are entirely missing, you can add them using this form.