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Further analysis of spurious causality

  • Cook, Steven
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    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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    File URL: http://www.sciencedirect.com/science/article/pii/S0378475408001699
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    Article provided by Elsevier in its journal Mathematics and Computers in Simulation (MATCOM).

    Volume (Year): 79 (2008)
    Issue (Month): 3 ()
    Pages: 647-651

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    Handle: RePEc:eee:matcom:v:79:y:2008:i:3:p:647-651
    Contact details of provider: Web page: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/

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    1. Triacca, Umberto, 2004. "Feedback, causality and distance between arma models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(6), pages 679-685.
    2. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
    3. 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.
    4. He, Zonglu & Maekawa, Koichi, 2001. "On spurious Granger causality," Economics Letters, Elsevier, vol. 73(3), pages 307-313, December.
    5. Diks Cees & Panchenko Valentyn, 2005. "A Note on the Hiemstra-Jones Test for Granger Non-causality," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-9, June.
    6. Huh, Hyeon-seung, 2002. "GDP growth and the composite leading index: a nonlinear causality analysis for eleven countries," Economics Letters, Elsevier, vol. 77(1), pages 93-99, September.
    7. Asimakopoulos, Ioannis & Ayling, David & Mansor Mahmood, Wan, 2000. "Non-linear Granger causality in the currency futures returns," Economics Letters, Elsevier, vol. 68(1), pages 25-30, July.
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