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Mixed Unit Roots and Deterministic Trends in Noncausality Tests

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Author Info
Ran, Tao
Zapata, Hector
Abstract

Using Japanese economic data and a Monte Carlo simulation, this study analyzes the consequences of ignoring deterministic trends in mixed unit-root data for Granger noncausality tests. Results from an augmented VAR suggest over-rejection in certain empirically relevant cases at various sample sizes.

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Paper provided by Southern Agricultural Economics Association in its series 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas with number 6745.

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Date of creation: 2008
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Handle: RePEc:ags:saeaed:6745

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Keywords: Research Methods/ Statistical Methods;

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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.:
  1. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250. [Downloadable!] (restricted)
  2. Lancaster, Kelvin, 1980. "Intra-industry trade under perfect monopolistic competition," Journal of International Economics, Elsevier, vol. 10(2), pages 151-175, May. [Downloadable!] (restricted)
  3. Titus O. Awokuse, 2006. "Export-led growth and the Japanese economy: evidence from VAR and directed acyclic graphs," Applied Economics, Taylor and Francis Journals, vol. 38(5), pages 593-602, March. [Downloadable!] (restricted)
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  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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