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Vector Autoregression and Causality

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Author Info
Hiro Y. Toda
Peter C.B. Phillips () (Cowles Foundation, Yale University)

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Abstract

This paper develops a complete limit theory for Wald tests of Granger causality in levels vector autoregression (VAR's) and Johansen-type error correction models (ECM's) allowing for the presence of stochastic trends and cointegration. Earlier work by Sims, Stock and Watson (1990) on trivariate VAR systems is extended to the general case, thereby formally characterizing the circumstances when these Wald tests are asymptotically valid as chi-square criteria. Our results for inference from unrestricted levels VAR are not encouraging.

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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 977.

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Length: 51 pages
Date of creation: May 1991
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Publication status: Published in Econometrica (November 1993), 61(6): 1367-1393
Handle: RePEc:cwl:cwldpp:977

Note: CFP 858.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Related research
Keywords: Error correction model; exogeneity; Granger causality; vector autoregression;

Other versions of this item:

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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This page was last updated on 2009-11-12.

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