This paper provides a theoretical overview of Wald tests for Granger causality in levels vector autoregressions (VAR's) and Johansen-type error correction models (ECM's) for VAR models the results for inference are not encouraging. The limit theory typically involves nonstandard distributions...

The purpose of this paper is to derive the asymptotic distributions of some Lagrange Multiplier (LM) tests for unit roots in time series models in the presence of missing observations, and to provide evidence on the small sample properties of these tests. LM tests for a unit root in a...