Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions

DOI10.1080/03610920601036366zbMath1114.62085OpenAlexW2025829360MaRDI QIDQ3593523

Taku Yamamoto, Hiroaki Chigira

Publication date: 23 July 2007

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920601036366

zbMATH Keywords

hypothesis testingcointegrationGranger causalityvector autoregressionlong-term interest rates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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• Statistical analysis of cointegration vectors
• Inference in possibly integrated vector autoregressive models: Some finite sample evidence
• The spurious effect of unit roots on vector autoregressions. An analytical study
• Statistical inference in vector autoregressions with possibly integrated processes
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Inference in Linear Time Series Models with some Unit Roots
• Tests for Long-Run Granger Non-Causality in Cointegrated Systems
• Making wald tests work for cointegrated VAR systems
• Modified lag augmented vector autoregressions
• Vector autoregression and causality: a theoretical overview and simulation study
• Fully Modified Least Squares and Vector Autoregression
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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