A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems
The size and power of various generalization tests for the Granger-causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods, properties of eight versions of the test are studied in two different forms, the standard form and the modified form by Dolado & Lütke...
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| Published in | Journal of applied statistics Vol. 27; no. 8; pp. 1021 - 1031 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Abingdon
Taylor & Francis Group
01.11.2000
Taylor and Francis Journals Taylor & Francis Ltd |
| Series | Journal of Applied Statistics |
| Subjects | |
| Online Access | Get full text |
| ISSN | 0266-4763 1360-0532 1360-0532 |
| DOI | 10.1080/02664760050173346 |
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| Abstract | The size and power of various generalization tests for the Granger-causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods, properties of eight versions of the test are studied in two different forms, the standard form and the modified form by Dolado & Lütkepohl (1996) in a study confined to properties of the Wald test only. In their study as well as in ours, both the standard and the modified Wald tests are shown to perform badly especially in small samples. We find, however, that the corrected LR tests exhibit correct size even in small samples. The power of the test is higher when the true VAR(2) model is estimated, and the modified test loses information by estimating the extra coefficients. The same is true when considering the power results in the VAR(3) model, and the power of the tests is somewhat lower than those in the VAR(2). |
|---|---|
| AbstractList | The size and power of various generalization tests for the Granger-causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods, properties of eight versions of the test are studied in two different forms, the standard form and the modified form by Dolado & Lutkepohl (1996) in a study confined to properties of the Wald test only. The size and power of various generalization tests for the Granger-causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods, properties of eight versions of the test are studied in two different forms, the standard form and the modified form by Dolado & Lütkepohl (1996) in a study confined to properties of the Wald test only. In their study as well as in ours, both the standard and the modified Wald tests are shown to perform badly especially in small samples. We find, however, that the corrected LR tests exhibit correct size even in small samples. The power of the test is higher when the true VAR(2) model is estimated, and the modified test loses information by estimating the extra coefficients. The same is true when considering the power results in the VAR(3) model, and the power of the tests is somewhat lower than those in the VAR(2). The size and power of various generalization tests for the Granger-causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods, properties of eight versions of the test are studied in two different forms, the standard form and the modified form by Dolado & Lütkepohl (1996) in a study confined to properties of the Wald test only. In their study as well as in ours, both the standard and the modified Wald tests are shown to perform badly especially in small samples. We find, however, that the corrected LR tests exhibit correct size even in small samples. The power of the test is higher when the true VAR(2) model is estimated, and the modified test loses information by estimating the extra coefficients. The same is true when considering the power results in the VAR(3) model, and the power of the tests is somewhat lower than those in the VAR(2). The size and power of various generalization tests for the Granger-causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods, properties of eight versions of the test are studied in two different forms, the standard form and the modified form by Dolado & Lutkepohl (1996) in a study confined to properties of the Wald test only. In their study as well as in ours, both the standard and the modified Wald tests are shown to perform badly especially in small samples. We find, however, that the corrected LR tests exhibit correct size even in small samples. The power of the test is higher when the true VAR(2) model is estimated, and the modified test loses information by estimating the extra coefficients. The same is true when considering the power results in the VAR(3) model, and the power of the tests is somewhat lower than those in the VAR(2). |
| Author | Shukur, Ghazi Mantalos, Panagiotis |
| Author_xml | – sequence: 1 givenname: Ghazi surname: Shukur fullname: Shukur, Ghazi organization: Department of Statistics , Göteborg University – sequence: 2 givenname: Panagiotis surname: Mantalos fullname: Mantalos, Panagiotis organization: Department of Statistics , Lund University |
| BackLink | http://econpapers.repec.org/article/tafjapsta/v_3a27_3ay_3a2000_3ai_3a8_3ap_3a1021-1031.htm$$DView record in RePEc https://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-11461$$DView record from Swedish Publication Index https://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-23187$$DView record from Swedish Publication Index |
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| Cites_doi | 10.1111/1468-0084.00065 10.2307/2171721 10.1080/07474939608800362 10.1002/9780470316436 10.2307/2951647 10.1017/S0266466600012287 10.1017/CBO9781139051996.002 10.1016/0304-4076(93)90024-Y 10.2307/2938337 |
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| Snippet | The size and power of various generalization tests for the Granger-causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo... |
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| StartPage | 1021 |
| SubjectTerms | Causality Hypotheses Lagrange multiplier Monte Carlo simulation Power Statistics Statistics/Econometrics Statistik Test methods |
| Title | A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems |
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