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On spurious Granger causality

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  • He, Zonglu
  • Maekawa, Koichi
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    File URL: http://www.sciencedirect.com/science/article/B6V84-44D3WVV-7/2/d1db61230ae3f0a892f5ff9f069b3779
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 73 (2001)
    Issue (Month): 3 (December)
    Pages: 307-313

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    Handle: RePEc:eee:ecolet:v:73:y:2001:i:3:p:307-313

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    1. Ohanian, Lee E., 1988. "The spurious effects of unit roots on vector autoregressions : A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 39(3), pages 251-266, November.
    2. Toda, Hiro Y. & Phillips, Peter C. B., 1993. "The spurious effect of unit roots on vector autoregressions : An analytical study," Journal of Econometrics, Elsevier, vol. 59(3), pages 229-255, October.
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    Cited by:
    1. Tang, Chor Foon & Lean, Hooi Hooi, 2009. "New evidence from the misery index in the crime function," Economics Letters, Elsevier, vol. 102(2), pages 112-115, February.
    2. Tang, Chor Foon, 2009. "Does causality technique matter to savings-growth nexus in Malaysia?," MPRA Paper 38535, University Library of Munich, Germany.
    3. Andreas Löschel & Ulrich Oberndorfer, 2009. "Oil and Unemployment in Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 229(2-3), pages 146-162, June.
    4. Tang, Chor Foon, 2008. "Is inflation always a monetary phenomenon in Malaysia?," MPRA Paper 19778, University Library of Munich, Germany.
    5. Hooi Hooi Lean & B. N. Ghosh, 2010. "Economic Integration in Asia: Quo Vadis Malaysia?," International Economic Journal, Taylor & Francis Journals, vol. 24(2), pages 237-248.
    6. Zhang, Lingxiang & Zhang, Xiaotong, 2011. "Spurious Granger causality between a broken-trend stationary process and a stochastic trend process," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(8), pages 1673-1681.
    7. Rüffer, Rasmus & Stracca, Livio, 2006. "What is global excess liquidity, and does it matter?," Working Paper Series 0696, European Central Bank.
    8. Diks, Cees, 2003. "Detecting serial dependence in tail events: a test dual to the BDS test," Economics Letters, Elsevier, vol. 79(3), pages 319-324, June.
    9. Cook, Steven, 2007. "On the relationship between mergers and economic activity: Evidence from an optimised hybrid method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(2), pages 628-634.
    10. Cook, Steven, 2008. "Further analysis of spurious causality," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 647-651.

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