Non-causality in Cointegrated Systems: Representation Estimation and Testing

Rocco Mosconi () and Carlo Giannini

Oxford Bulletin of Economics and Statistics, 1992, vol. 54, issue 3, 399-417

Abstract: This paper addresses the problem of representing noncausality between two sets of cointegrated variables. In this case, maximum likelihood estimates of the parameters may be derived based on Johansen's approach. Likelihood ratio tests for noncausality are derived, which are different depending on the distributions of the unit roots in the marginal subsystem and the autoregressive part of the conditional subsystem. These tests are chi-squared-distributed. A Monte Carlo experiment illustrates t he advantages of the proposed approach when compared to the usual approach based on VAR's in levels. Copyright 1992 by Blackwell Publishing Ltd

Date: 1992
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