An Out of Sample Test for Granger Causality

Norman Swanson ()

No 362, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: Granger (1980) summarizes his personal viewpoint on testing for causality, and outlines what he considers to be a useful operational version of his original definition of causality (Granger (1969)), which he notes was partially alluded to in Wiener (1958). This operational version is based on a comparison of the 1-step ahead predictive ability of competing models. However, Granger concludes his discussion by noting that it is common practice to test for Granger causality using in-sample F-tests. The practice of using in-sample type Granger causality tests continues to be prevalent. In this paper we develop simple (nonlinear) out-of-sample predictive ability tests of the Granger non-causality null hypothesis. In addition, Monte Carlo experiments are used to investigate the finite sample properites of the test. An empirical illustration shows that the choice of in-sample versus out-of-sample Granger causality tests can crucially affect the conclusions about the predictive content of money for output.

Date: 2000-08-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
http://fmwww.bc.edu/RePEc/es2000/0362.pdf main text (application/pdf)

Related works:
Journal Article: OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY (2001)
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:ecm:wc2000:0362

Access Statistics for this paper

More papers in Econometric Society World Congress 2000 Contributed Papers from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().