On spurious Granger causality

DOI10.1016/S0165-1765(01)00498-0zbMath1001.91088OpenAlexW2074490456MaRDI QIDQ5958408

Koichi Maekawa, Zonglu He

Publication date: 3 March 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(01)00498-0

zbMATH Keywords

Granger causalitynon-stationary time seriesspurious causality

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Detecting serial dependence in tail events: a test dual to the BDS test ⋮ Further analysis of spurious causality

Cites Work

• The spurious effect of unit roots on vector autoregressions. An analytical study

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