Economics at your fingertips  

Testing for Causation Using Infinite Order Vector Autoregressive Processes

Helmut Lütkepohl () and Donald Poskitt

Econometric Theory, 1996, vol. 12, issue 01, 61-87

Abstract: Tests for Granger-causality have been performed in numerous empirical studies. These tests are usually based on finite order vector autoregressive (VAR) processes, and the assumption is made that the model fitted to the available data corresponds to the true data generating mechanism. In the present study, the more general assumption is made that a finite order VAR model is fitted to a potentially infinite order process. The order is assumed to increase with the sample size. Asymptotic properties of tests for Granger-causality as well as other types of causality concepts are derived. Some limited small sample results are obtained using simulation methods.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (38) Track citations by RSS feed

Downloads: (external link) link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

Page updated 2019-07-29
Handle: RePEc:cup:etheor:v:12:y:1996:i:01:p:61-87_00