 OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITYJohn Chao (), Valentina Corradi and Norman Swanson () Macroeconomic Dynamics, 2001, vol. 5, issue 4, 598-620 Abstract: Clive W.J. Granger has summarized his personal viewpoint on testing for causality in numerous articles over the past 30 years and has outlined what he considers to be a useful operational version of his original definition of Granger causality, which he notes is partially alluded to in the Ph.D. dissertation of Norbert Wiener. This operational version of Granger causality is based on a comparison of the one-step-ahead predictive ability of competing models. However, Granger concludes his discussion by noting that it is common practice to test for Granger causality using in-sample F-tests. The practice of using in-sample type Granger causality tests continues to be prevalent. In this paper we develop simple (nonlinear) out-of-sample predictive ability tests of the Granger non-causality null hypothesis. In addition, Monte Carlo experiments are used to investigate the finite sample properites of the test. An empirical illustration shows that the choice of in-sample versus out-of-sample Granger causality tests can crucially affect the conclusions about the predictive content of money for output. Date: 2001 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:cup:macdyn:v:5:y:2001:i:04:p:598-620_02 Access Statistics for this article More articles in Macroeconomic Dynamics from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK. |
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