Finite sample effects of additive outliers on the Granger-causality test with an application to money growth and inflation in Peru

Thierno Balde and Gabriel Rodríguez

Applied Economics Letters, 2005, vol. 12, issue 13, 841-844

Abstract: We established, via finite sample simulations, that additive outliers have important effects on the exact size of the statistic for testing for Granger causality. An empirical application illustrates the effects of neglecting for additive outliers.

Date: 2005
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DOI: 10.1080/13504850500372992

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