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 VAR or a vector error correction model (VECM), in which...

Prior studies have shown that automated variable selection results in models with substantially inflated estimates of the model R2, and that a large proportion of selected variables are truly noise variables. These earlier studies used simulated data sets whose sample sizes were at most 100. We...