Mantalos, Panagiotis - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 1, pp. 17-33
The size and power of the Wald, Edgeworth expansion corrected likelihood-ratio statistic (LRE), and bootstrap tests for Granger causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods and simple graphical techniques, the p-value plots, and power-size plots,...
