The Granger Non-Causality Test in Cointegrated Vector Autoregressions

Hiroaki Chigira, 弘明 千木良, Taku Yamamoto and 拓 山本

No 2003-13, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: Vector autoregression; Cointegration; Granger causality; Hypothesis testing (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2003-07
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Citations: View citations in EconPapers (1)

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https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/17012/070econDP03-13.pdf

Related works:
Working Paper: The Granger Non-Causality Test in Cointegrated Vector Autoregressions (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2003-13

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