Clarke, Judith A.; Mirza, Sadaf - Department of Economics, University of Victoria - 2003
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 … testing as well as by model selection criteria. We find that the current practice of pretesting for cointegration can result …