Further analysis of spurious causality
The properties of Granger-causality tests are examined when applied to integrated time series. Recently presented results suggesting spurious causality in such circumstances are shown to be highly dependent upon the absence of deterministic terms from the causality testing equations. The analysis is completed by the examination of an alternative non-parametric causality test.
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Volume (Year): 79 (2008)
Issue (Month): 3 ()
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- Hiemstra, Craig & Jones, Jonathan D, 1994. " Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-64, December.
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CeNDEF Working Papers
04-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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