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Testing for non-causality by using the Autoregressive Metric

  • Di Iorio, Francesca
  • Triacca, Umberto

A new non-causality test based on the notion of distance between ARMA models is proposed in this paper. The advantage of this test is that it can be used in possible integrated and cointegrated systems, without pre-testing for unit roots and cointegration. The Monte Carlo experiments indicate that the proposed method performs reasonably well in nite samples. The empirical relevance of the test is illustrated via two applications.

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File URL: http://mpra.ub.uni-muenchen.de/29637/2/MPRA_paper_29637.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 29637.

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Date of creation: 2011
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Handle: RePEc:pra:mprapa:29637
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  1. David Giles, 1997. "Causality between the measured and underground economies in New Zealand," Applied Economics Letters, Taylor & Francis Journals, vol. 4(1), pages 63-67.
  2. Lukasz Lach, 2010. "Application of Bootstrap Methods in Investigation of Size of the Granger Causality Test for Integrated VAR Systems," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 8(2), pages 167-186.
  3. Park, Joon Y. & Phillips, Peter C.B., 1989. "Statistical Inference in Regressions with Integrated Processes: Part 2," Econometric Theory, Cambridge University Press, vol. 5(01), pages 95-131, April.
  4. Neil R. Ericsson & John S. Irons & Ralph W. Tryon, 2000. "Output and inflation in the long run," International Finance Discussion Papers 687, Board of Governors of the Federal Reserve System (U.S.).
  5. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
  6. Coondoo, Dipankor & Dinda, Soumyananda, 2002. "Causality between income and emission: a country group-specific econometric analysis," Ecological Economics, Elsevier, vol. 40(3), pages 351-367, March.
  7. Mavrotas, George & Kelly, Roger, 2001. "Old Wine in New Bottles: Testing Causality between Savings and Growth," Manchester School, University of Manchester, vol. 69(0), pages 97-105, Supplemen.
  8. Lach, Ɓukasz, 2010. "Application of bootstrap methods in investigation of size of the Granger causality test for integrated VAR systems," MPRA Paper 52285, University Library of Munich, Germany.
  9. Maravall, Agustin & Mathis, Alexandre, 1994. "Encompassing univariate models in multivariate time series : A case study," Journal of Econometrics, Elsevier, vol. 61(2), pages 197-233, April.
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