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The Granger Non-Causality Test in Cointegrated Vector Autoregressions

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  • Hiroaki Chigira
  • Taku Yamamoto

Abstract

In general, Wald tests for the Granger non-causality in vector autoregressive (VAR) process are known to have non-standard asymptotic properties for cointegrated systems. However, that may have standard asymptotic properties depending on the rank of the submatrix of cointegration. In this paper, we propose a procedure for conducting Granger non-causality tests that are based on discrimination of these asymptotic properties. This paper also investigate the finite sample performance of our testing procedure, and compare the testing procedure with conventional causality tests in levels VAR’s.

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File URL: http://hi-stat.ier.hit-u.ac.jp/research/discussion/2003/pdf/D03-07.pdf
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Bibliographic Info

Paper provided by Institute of Economic Research, Hitotsubashi University in its series Hi-Stat Discussion Paper Series with number d03-07.

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Date of creation: Dec 2003
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Handle: RePEc:hst:hstdps:d03-07

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Keywords: Vector autoregression; Cointegration; Granger causality; Hypothesis testing;

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Cited by:
  1. Yiannis Kamarianakis & Vagelis Kaslis, 2005. "Geographical competition-complementarity relationships between Greek regional economies," ERSA conference papers ersa05p552, European Regional Science Association.

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