Tests for Long‐Run Granger Non‐Causality in Cointegrated Systems

Taku Yamamoto and Eiji Kurozumi ()

Journal of Time Series Analysis, 2006, vol. 27, issue 5, 703-723

Abstract: Abstract. In this article, we propose a new approach to test the hypothesis of long‐run Granger non‐causality in cointegrated systems. We circumvent the problem of singularity of the covariance matrix associated with the usual Wald‐type test by proposing a generalized inverse procedure. A test for the ranks of submatrices of the cointegration matrix and its orthogonal matrix plays a vital role in our procedure. The relevant small‐sample experiments indicate that the proposed method performs reasonably well in finite samples. As empirical applications, we examine long‐run causal relations among long‐term interest rates of three nations.

Date: 2006
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Citations: View citations in EconPapers (19)

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https://doi.org/10.1111/j.1467-9892.2006.00484.x

Related works:
Working Paper: Tests for Long-Run Granger Non-Causality in Cointegrated Systems (2003)
Working Paper: Tests for Long-Run Granger Non-Causality in Cointegrated Systems (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:27:y:2006:i:5:p:703-723

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