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Finite sample effects of additive outliers on the Granger-causality test with an application to money growth and inflation in Peru

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Author Info
Thierno A. Baldé
Gabriel Rodríguez

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Abstract

We 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.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 12 (2005)
Issue (Month): 13 (October)
Pages: 841-844
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Handle: RePEc:taf:apeclt:v:12:y:2005:i:13:p:841-844

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  1. 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).
  2. Pierre Perron & Gabriel RodrÌguez, 2003. "Searching For Additive Outliers In Nonstationary Time Series," Journal of Time Series Analysis, Blackwell Publishing, vol. 24(2), pages 193-220, 03. [Downloadable!] (restricted)
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  3. 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. [Downloadable!]
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