Testing for Granger non-causality using the autoregressive metric

Francesca Di Iorio and Umberto Triacca ()

Economic Modelling, 2013, vol. 33, issue C, 120-125

Abstract: A new non-causality test based on the notion of distance between ARMA models is proposed in this paper. The advantage of this test is that it can be used in possible integrated and cointegrated systems, without pre-testing for unit roots and cointegration. The Monte Carlo experiments indicate that the proposed method performs reasonably well in finite samples. The empirical relevance of the test is illustrated via an application.

Keywords: AR metric; Bootstrap test; Granger non-causality; VAR models (search for similar items in EconPapers)
JEL-codes: C12 C3 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:33:y:2013:i:c:p:120-125

DOI: 10.1016/j.econmod.2013.03.023

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