Further analysis of spurious causality
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References listed on IDEAS
- Diks Cees & Panchenko Valentyn, 2005.
"A Note on the Hiemstra-Jones Test for Granger Non-causality,"
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- Zhang, Lingxiang & Zhang, Xiaotong, 2011. "Spurious Granger causality between a broken-trend stationary process and a stochastic trend process," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(8), pages 1673-1681.
More about this item
KeywordsGranger-causality; Spurious rejection; Integrated time series;
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