Mixed Unit Roots and Deterministic Trends in Noncausality Tests

Using Japanese economic data and a Monte Carlo simulation, this study analyzes the consequences of ignoring deterministic trends in mixed unit-root data for Granger noncausality tests. Results from an augmented VAR suggest over-rejection in certain empirically relevant cases at various sample sizes.

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Year of publication:	2008
Authors:	Ran, Tao ; Zapata, Hector O.
Institutions:	Southern Agricultural Economics Association - SAEA
Subject:	Research Methods/ Statistical Methods

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Extent:	application/pdf
Series:	2008 Annual Meeting, February 2-6, 2008, Dallas, Texas.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas Number 6745
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005503472