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The Granger Non-Causality Test in Cointegrated Vector Autoregressions

Author

Listed:
  • Chigira, Hiroaki
  • 千木良, 弘明
  • Yamamoto, Taku
  • 山本, 拓

Abstract

In general, Wald tests for the Granger non-causality in vector autoregressive (VAR) process are known to have non-standard asymptotic properties for cointegrated systems. However, that may have standard asymptotic properties depending on the rank of the submatrix of cointegration. In this paper, we propose a procedure for conducting Granger non-causality tests that are based on discrimination of these asymptotic properties. This paper also investigate the finite sample performance of our testing procedure, and compare the testing procedure with conventional causality tests in levels VAR’s.
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Suggested Citation

  • Chigira, Hiroaki & 千木良, 弘明 & Yamamoto, Taku & 山本, 拓, 2003. "The Granger Non-Causality Test in Cointegrated Vector Autoregressions," Discussion Papers 2003-13, Graduate School of Economics, Hitotsubashi University.
    • Handle: RePEc:hit:econdp:2003-13
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    File URL: https://hit-u.repo.nii.ac.jp/record/2052451/files/070econDP03-13.pdf
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    Cited by:

    1. Yiannis Kamarianakis & Vagelis Kaslis, 2005. "Geographical competition-complementarity relationships between Greek regional economies," ERSA conference papers ersa05p552, European Regional Science Association.

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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • 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

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