IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

A New Approach to Causality Testing

Listed author(s):
  • Sanja S. Dudakovic


    (Franklin Collage)

Registered author(s):

    A new causality test based on Higher Order Cumulants (HOC) is proposed in this paper. The test can be applied on non Gaussian time series. The methodological novelty is the usage of a two- step method based on digital whitening, which is performed by ARMA-HOC filter. To substantiate the method further, an empirical analysis of the relationship between the interest rate spread and real gross domestic product (GDP) growth is presented for the period 1982:q1 -2010:q1. The spread is measured as a difference between 10-year bond yields and three-month Treasury bill rates in the US. The fist step applies ARMA-HOC models to obtain white residuals from a quarterly term spread (TS) and GDP growth. The second step tests the dynamical correlation of TS and GDP growth residuals. The results show that the proposed test can capture the information about non Gaussian properties of the random variables being tested. The test is compared with the Granger-Sims causality test. The paper questions the reliability of the Granger 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.

    File URL:
    Download Restriction: no

    Article provided by Institute of Economic Sciences in its journal Economic Analysis.

    Volume (Year): 44 (2011)
    Issue (Month): 1-2 ()
    Pages: 5-14

    in new window

    Handle: RePEc:ibg:eajour:v:44:y:2011:i:1-2:p:5-14
    Contact details of provider: Postal:
    12 Zmaj Jovina St, 11000 Belgrade, Serbia

    Phone: +381 11 2622 357, 2623-055
    Fax: +381 11 2181 471
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ibg:eajour:v:44:y:2011:i:1-2:p:5-14. 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: (Zorica Bozic)

    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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.