Testing for Granger (non)-Causality in a Time Varying Coefficient VAR Model
Dimitris Christopoulos () and
Miguel Leon-Ledesma ()
Studies in Economics from School of Economics, University of Kent
In this paper we propose Granger (non-)causality tests based on a VAR model allowing for time-varying coefficients. The functional form of the time-varying coefficients is a Logistic Smooth Transition Autoregressive (LSTAR) model using time as the transition variable. The model allows for testing Granger non-causality when the VAR is subject to a smooth break in the coefficients of the Granger causal variables. The proposed test then is applied to the money-output relationship using quarterly US data for the period 1952:2-2002:4. We find that causality from money to output becomes stronger after 1978:4 and the model is shown to have a good out of sample forecasting performance for output relative to a linear VAR model.
Keywords: Granger causality; Time-varying coefficients; LSTAR models (search for similar items in EconPapers)
JEL-codes: C51 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
Journal Article: Testing for Granger (non-)causality in a time-varying coefficient VAR model (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ukc:ukcedp:0802
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in Studies in Economics from School of Economics, University of Kent School of Economics, University of Kent, Canterbury, Kent, CT2 7FS.
Bibliographic data for series maintained by Tracey Girling ().