Testing for Granger non-causality using the autoregressive metric

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 finite samples. The empirical relevance of the test is illustrated via an application.

MoreLess

Year of publication:	2013
Authors:	Di Iorio, Francesca ; Triacca, Umberto
Published in:	Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 33.2013, C, p. 120-125
Publisher:	Elsevier
Subject:	AR metric \| Bootstrap test \| Granger non-causality \| VAR models

More details

Type of publication:	Article
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010738019