Giles, Judith A.; Mirza, Sadaf - Department of Economics, University of Victoria - 1999
We compare testing strategies for Granger noncausality in vector autoregressions (VARs) that may or may not have unit … roots and cointegration. Sequential testing methods are examined; these test for cointegration and use either a differenced … to specific testing as well as by model selection criteria. We find that the current practice of pretesting for …