Further analysis of spurious causality

Steven Cook

Mathematics and Computers in Simulation (MATCOM), 2008, vol. 79, issue 3, 647-651

Abstract: The properties of Granger-causality tests are examined when applied to integrated time series. Recently presented results suggesting spurious causality in such circumstances are shown to be highly dependent upon the absence of deterministic terms from the causality testing equations. The analysis is completed by the examination of an alternative non-parametric causality test.

Keywords: Granger-causality; Spurious rejection; Integrated time series (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:79:y:2008:i:3:p:647-651

DOI: 10.1016/j.matcom.2008.04.011

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