A pitfall in using the characterization of Granger non-gausality in vector autoregressive models

Umberto Triacca

It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that if this assumption is violated, then the characterization of Granger non-causality in a VAR model fails to hold. In these situations Granger non-causality test results must be interpreted with caution.

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Year of publication:	2015
Authors:	Triacca, Umberto
Published in:	Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 3.2015, 2, p. 233-239
Subject:	covariance matrix \| Granger causality \| time series \| Kausalanalyse \| Causality analysis \| Zeitreihenanalyse \| Time series analysis \| VAR-Modell \| VAR model \| Schätztheorie \| Estimation theory