IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

The Granger Non-Causality Test in Cointegrated Vector Autoregressions

  • Hiroaki Chigira
  • Taku Yamamoto

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.

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

Paper provided by Institute of Economic Research, Hitotsubashi University in its series Hi-Stat Discussion Paper Series with number d03-07.

in new window

Date of creation: Dec 2003
Date of revision:
Handle: RePEc:hst:hstdps:d03-07
Contact details of provider: Postal:
2-1 Naka, Kunitachi City, Tokyo 186

Phone: +81-42-580-8327
Fax: +81-42-580-8333
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:hst:hstdps:d03-07. 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: (Tatsuji Makino)

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.