Finite sample effects of additive outliers on the Granger-causality test with an application to money growth and inflation in Peru

We established, via finite sample simulations, that additive outliers have important effects on the exact size of the statistic for testing for Granger causality. An empirical application illustrates the effects of neglecting for additive outliers.

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Year of publication:	2005
Authors:	Balde, Thierno ; Rodriguez, Gabriel
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 12.2005, 13, p. 841-844
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005435582