Testing for non-causality by using the Autoregressive Metric

Francesca Di Iorio and Umberto Triacca ()

MPRA Paper from University Library of Munich, Germany

Abstract: A new non-causality test based on the notion of distance between ARMA models is proposed in this paper. The advantage of this test is that it can be used in possible integrated and cointegrated systems, without pre-testing for unit roots and cointegration. The Monte Carlo experiments indicate that the proposed method performs reasonably well in nite samples. The empirical relevance of the test is illustrated via two applications.

Keywords: AR metric; Bootstrap test; Granger non-causality; VAR (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:29637

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