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Vector Autoregression and Causality

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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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File URL: http://cowles.econ.yale.edu/P/cd/d09b/d0977.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 977.

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Length: 51 pages
Date of creation: May 1991
Date of revision:
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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Keywords: Error correction model; exogeneity; Granger causality; vector autoregression;

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