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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 79 (2008)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Diks, C.G.H. & Panchenko, V., 2004.
"A note on the Hiemstra-Jones test for Granger non-causality,"
CeNDEF Working Papers
04-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- 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.
- 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.
- 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.
- Triacca, Umberto, 2004. "Feedback, causality and distance between arma models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(6), pages 679-685.
- He, Zonglu & Maekawa, Koichi, 2001. "On spurious Granger causality," Economics Letters, Elsevier, vol. 73(3), pages 307-313, December.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:79:y:2008:i:3:p:647-651. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.