Application of Bootstrap Methods in Investigation of Size of the Granger Causality Test for Integrated VAR Systems

Łukasz Lach

Managing Global Transitions, 2010, vol. 8, issue 2, 167-186

Abstract: This paper examines the size performance of the Toda-Yamamoto test for Granger causality in the case of trivariate integrated and cointegrated VAR systems. The standard asymptotic distribution theory and the residual-based bootstrap approach are applied. A variety of types of distribution of error term is considered. The impact of misspecification of initial parameters as well as the influence of an increase in sample size and number of bootstrap replications on size performance of Toda-Yamamoto test statistics is also examined. The results of the conducted simulation study confirm that standard asymptotic distribution theory may often cause significant over-rejection. Application of bootstrap methods usually leads to improvement of size performance of the Toda-Yamamoto test. However, in some cases the considered bootstrap method also leads to serious size distortion and performs worse than the traditional approach based on ÷2 distribution.

Keywords: bootstrap methods; simulation; Granger causality; bootstrap methods; simulation; Granger causality; VAR models models (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://www.fm-kp.si/zalozba/ISSN/1581-6311/8_167-186.pdf (application/pdf)

Related works:
Working Paper: Application of bootstrap methods in investigation of size of the Granger causality test for integrated VAR systems (2010)
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: https://EconPapers.repec.org/RePEc:mgt:youmgt:v:8:y:2010:i:2:p:167-186

Ordering information: This journal article can be ordered from
http://www.mgt.fm-kp.si

Access Statistics for this article

Managing Global Transitions is currently edited by Jana Hojnik

More articles in Managing Global Transitions from University of Primorska, Faculty of Management Koper Contact information at EDIRC.
Bibliographic data for series maintained by Alen Jezovnik ().