Finite sample effects of additive outliers on the Granger-causality test with an application to money growth and inflation in Peru
AbstractWe established, via finite sample simulations, that additive outliers have important effects on the exact size of the statistic for testing for Granger causality. An empirical application illustrates the effects of neglecting for additive outliers.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 12 (2005)
Issue (Month): 13 ()
Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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.:
- Pierre Perron & Gabriel RodrÌguez, 2003.
"Searching For Additive Outliers In Nonstationary Time Series,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 24(2), pages 193-220, 03.
- Perron, P. & Rodriguez, G., 2000. "Seraching for Additive Outliers in Nonstationary Time Series," Working Papers 0005e, University of Ottawa, Department of Economics.
- Serena Ng & Timothy J. Vogelsang, 1997.
"Analysis of Vector Autoregressions in the Presence of Shifts in Mean,"
Boston College Working Papers in Economics
379, Boston College Department of Economics.
- Serena Ng & Timothy Vogelsang, 2002. "Analysis Of Vector Autoregressions In The Presence Of Shifts In Mean," Econometric Reviews, Taylor and Francis Journals, vol. 21(3), pages 353-381.
- Bianchi, Marco, 1995. "Granger Causality in the Presence of Structural Changes," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1995018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.