Månsson, Kristofer; Shukur, Ghazi; Sjölander, Pär - Handelns Utredningsinstitut (HUI Research) - 2010
This paper analyzes and compares the properties of the most commonly applied versions of the Granger causality (GC) test to a new ridge regression GC test (RRGC), in the presence of multicollinearity. The investigation has been carried out using Monte Carlo simulations. A large number of models...