Finite sample modifications of the granger non causality test in cointegrated vector autoregressions

Hiroaki Chigira, Taku Yamamoto

Research output: Contribution to journalArticlepeer-review

Abstract

This article deals with the Granger non causality test in cointegrated vector autoregressive processes. We propose a new testing procedure that yields an asymptotically standard distribution and performs well in small samples by combining the standard Wald test and the generalized inverse procedure. We also propose a few simple modifications to the test statistics in order to help our procedure perform better in finite samples. Monte Carlo simulations show that our procedure works better than the conventional approach.

Original languageEnglish
Pages (from-to)981-1003
Number of pages23
JournalCommunications in Statistics - Theory and Methods
Volume36
Issue number5
DOIs
Publication statusPublished - 2007 Apr 1
Externally publishedYes

Keywords

  • Cointegration
  • Granger causality
  • Hypothesis testing
  • Vector autoregression

ASJC Scopus subject areas

  • Statistics and Probability

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