Mixed Unit Roots and Deterministic Trends in Noncausality Tests

Tao Ran and Hector O. Zapata

No 6745, 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas from Southern Agricultural Economics Association

Abstract: Using Japanese economic data and a Monte Carlo simulation, this study analyzes the consequences of ignoring deterministic trends in mixed unit-root data for Granger noncausality tests. Results from an augmented VAR suggest over-rejection in certain empirically relevant cases at various sample sizes.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 20
Date: 2008
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:ags:saeaed:6745

DOI: 10.22004/ag.econ.6745

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