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Mixed Unit Roots and Deterministic Trends in Noncausality Tests

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  • Ran, Tao
  • Zapata, Hector O.

Abstract

Using Japanese economic data and a Monte Carlo simulation, this study analyzes the consequences of ignoring deterministic trends in mixed unit-root data for Granger noncausality tests. Results from an augmented VAR suggest over-rejection in certain empirically relevant cases at various sample sizes.

Suggested Citation

  • Ran, Tao & Zapata, Hector O., 2008. "Mixed Unit Roots and Deterministic Trends in Noncausality Tests," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6745, Southern Agricultural Economics Association.
    • Handle: RePEc:ags:saeaed:6745
    DOI: 10.22004/ag.econ.6745
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    References listed on IDEAS

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    1. Judith Giles & Cara Williams, 2001. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 9(4), pages 445-470.
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    7. Judith Giles & Cara Williams, 2001. "Export-led growth: a survey of the empirical literature and some non-causality results. Part 2," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 9(4), pages 445-470.
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