IDEAS home Printed from https://ideas.repec.org/p/hit/econdp/2003-12.html

Tests for Long-Run Granger Non-Causality in Cointegrated Systems

Author

Listed:
  • Yamamoto, Taku
  • 山本, 拓
  • Kurozumi, Eiji
  • 黒住, 英司

Abstract

. In this article, we propose a new approach to test the hypothesis of long‐run Granger non‐causality in cointegrated systems. We circumvent the problem of singularity of the covariance matrix associated with the usual Wald‐type test by proposing a generalized inverse procedure. A test for the ranks of submatrices of the cointegration matrix and its orthogonal matrix plays a vital role in our procedure. The relevant small‐sample experiments indicate that the proposed method performs reasonably well in finite samples. As empirical applications, we examine long‐run causal relations among long‐term interest rates of three nations.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Yamamoto, Taku & 山本, 拓 & Kurozumi, Eiji & 黒住, 英司, 2003. "Tests for Long-Run Granger Non-Causality in Cointegrated Systems," Discussion Papers 2003-12, Graduate School of Economics, Hitotsubashi University.
    • Handle: RePEc:hit:econdp:2003-12
    Note: February 2001; First Revision, February 2002; Second Revision, February 2003; Third Revision, June 2003
    as

    Download full text from publisher

    File URL: https://hit-u.repo.nii.ac.jp/record/2052408/files/070econDP03-12.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fanelli, Luca & Paruolo, Paolo, 2010. "Speed of adjustment in cointegrated systems," Journal of Econometrics, Elsevier, vol. 158(1), pages 130-141, September.
    2. Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2016. "Testing for Granger causality with mixed frequency data," Journal of Econometrics, Elsevier, vol. 192(1), pages 207-230.
    3. repec:dau:papers:123456789/1483 is not listed on IDEAS
    4. Yiannis Kamarianakis & Vagelis Kaslis, 2005. "Geographical competition-complementarity relationships between Greek regional economies," ERSA conference papers ersa05p552, European Regional Science Association.
    5. Andrea Ingianni, 2012. "Intra-European Union trade openness and new members’ output convergence: A time-series analysis," Economics Discussion Papers 2012-5, School of Economics, Kingston University London.
    6. Al-Sadoon, Majid M., 2019. "Testing subspace Granger causality," Econometrics and Statistics, Elsevier, vol. 9(C), pages 42-61.
    7. Al-Sadoon, Majid M., 2014. "Geometric and long run aspects of Granger causality," Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
    8. Francisco Paulo Filho & Nicolino Trompieri Neto & Ivan Castelar & Cristiano da Costa da Silva & Pablo Urano de Carvalho Castelar, 2025. "Have Agricultural Derivatives and International Trade Boost the Brazilian Agricultural Sector? Empirical Evidence via Long-Run Non-Causality Test," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 17(8), pages 1-36, August.
    9. Giovanni Angelini & Emanuele Bacchiocchi & Giovanni Caggiano & Luca Fanelli, 2019. "Uncertainty across volatility regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 437-455, April.
    10. Paolo Paruolo, 2006. "The Likelihood Ratio Test for the Rank of a Cointegration Submatrix," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 921-948, December.
    11. Gulasekaran Rajaguru & Ahmed M Khalid & Francesco Barbera, 2014. "It’s not yen, euro or koala bloc: Greenback is still dominant in East Asia," Australian Journal of Management, Australian School of Business, vol. 39(4), pages 549-571, November.
    12. Gulasekaran Rajaguru & Safdar Ullah Khan, 2021. "Causality between Energy Consumption and Economic Growth in the Presence of Growth Volatility: Multi-Country Evidence," JRFM, MDPI, vol. 14(10), pages 1-26, October.
    13. Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, June.
    14. Bilge Kagan Ozdemir, 2009. "Banking Sector Stability During The Process Of Euro Adoption," Anadolu University Journal of Social Sciences, Anadolu University, vol. 9(1), pages 123-1236, June.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hit:econdp:2003-12. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Digital Resources Section, Hitotsubashi University Library (email available below). General contact details of provider: https://edirc.repec.org/data/fehitjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.