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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References listed on IDEAS
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- He, Zonglu & Maekawa, Koichi, 2001. "On spurious Granger causality," Economics Letters, Elsevier, vol. 73(3), pages 307-313, December.
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