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Non-Causality in VAR-ECM Models with Purely Exogeneous Long-Run Paths

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  • Rault, C.

Abstract

We propose in this paper a framework based on a canonical representation of the long run matrix, which can constitute a basis for Granger non-causality testing in a VAR-ECM model using asymptotically Chi-square distributed Wald test statistics, and that unlike Giannini and Mosconi (1992), permits to clearly distinguish the nullity of some parameter blocks we can always achieve without any loss of generality, of the nullity of the parameter blocks resulting from the non-causality property. This canonical representation requires to determine the specific rank of a particular sub-matrix, which can be done using sequential test procedure, whose properties are analysed in small and large samples with Monte Carlo experiments.

Suggested Citation

  • Rault, C., 1999. "Non-Causality in VAR-ECM Models with Purely Exogeneous Long-Run Paths," Papiers d'Economie Mathématique et Applications 1999.44, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:fth:pariem:1999.44
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    1. Kiviet, Jan F. & Phillips, Garry D. A., 1996. "The bias of the ordinary least squares estimator in simultaneous equation models," Economics Letters, Elsevier, vol. 53(2), pages 161-167, November.
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    8. Hunter, John, 1992. "Tests of cointegrating exogeneity for PPP and uncovered interest rate parity in the United Kingdom," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 453-463, August.
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    Cited by:

    1. Rault, Christophe, 2005. "Further Results on Weak Exogeneity in Vector Error Correction Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 25(2), November.
    2. L'Horty, Yannick & Rault, Christophe, 2003. "Why Is French Equilibrium Unemployment So High? An Estimation of the WS-PS Model," Journal of Applied Economics, Universidad del CEMA, vol. 6(1), pages 1-30, May.
    3. Jacqueline Pradel & Christophe Rault, 2003. "Exogeneity in Vector Error Correction Models with Purely Exogenous Long‐Run Paths," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 629-653, December.
    4. Yannick L’Horty & Christophe Rault, 2005. "The Impact of Growth, Labour Cost and Working Time on Employment: Lessons from the French Experience," LABOUR, CEIS, vol. 19(3), pages 595-620, September.
    5. Christophe Rault, 2007. "Une synthèse de l'exogénéité dans les modèles vectoriels à correction d'erreurs," Post-Print halshs-00202651, HAL.
    6. Poomthan Rangkakulnuwat & Sung Ahn & Holly Wang & Susan He, 2010. "Extended generalized purchasing power parity and optimum currency area in East Asian countries," Applied Economics, Taylor & Francis Journals, vol. 42(4), pages 497-513.

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    More about this item

    Keywords

    EXPERIMENTS ; MATHEMATICAL ANALYSIS ; MODELS;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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