A comparison of some common methods for detecting Granger noncausality

References

• Granger , C. W.J. 1969 . Investigating causal relations by econometric models and cross-spectral methods . Econometrica , 36 : 424 – 438 .
   Web of Science ®Google Scholar
• Wiener , N. 1956 . “ The theory of prediction ” . In Modern Mathematics for Engineers (Series 1) , Edited by: Beckenback , E. F. New York : McGraw-Hill . Ch. 8
   Google Scholar
• Toda , H. Y. and Yamamoto , T. 1995 . Statistical inference in vector autoregressions with possibly integrated processes . Journal of Econometrics , 66 : 225 – 250 .
   Web of Science ®Google Scholar
• Dolado , J. J. and Lütkepohl , H. 1996 . Making Wald tests work for cointegrated VAR systems . Econometric Reviews , 15 : 369 – 386 .
   Google Scholar
• Saikkonen , P. and Lütkepohl , H. 1996 . Infinte-order cointegrated vector autoregressive processes: estimation and inference . Econometric Theory , 12 : 814 – 844 .
   Web of Science ®Google Scholar
• Toda , H. Y. and Phillips , P. C.B. 1994 . Vector autoregression and causality: a theoretical overview and simulation study . Econometric Reviews , 13 : 259 – 285 .
   Google Scholar
• Zapata , H. O. and Rambaldi , A. N. 1997 . Monte Carlo evidence on cointegration and causation . Oxford Bulletin of Economics and Statistics , 59 : 285 – 298 .
   Web of Science ®Google Scholar
• Yamada , H. and Toda , H. Y. 1998 . Inference in possibly integrated vector autoregressive models: some finite sample evidence . Journal of Econometrics , 86 : 55 – 95 .
   Web of Science ®Google Scholar
• Toda , H. Y. and Phillips , P. C.B. 1993 . Vector autoregression and causality . Econometrica , 61 : 1367 – 1393 .
   Web of Science ®Google Scholar
• Sims , C. A. , Stock , J. H. and Watson , M. J. 1990 . Inference in linear time series models with some unit roots . Econometrica , 58 : 113 – 144 .
   Web of Science ®Google Scholar
• Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 254 .
   Web of Science ®Google Scholar
• Ahn , S. K. and Reinsel , G. C. 1990 . Estimation of partially nonstationary multivariate autoregressive models . Journal of the American Statistical Association , 85 : 813 – 823 .
   Web of Science ®Google Scholar
• Lütkepohl , H. 1993 . Introduction to Multiple Time Series Analysis , 2nd edn , Berlin : Springer-Verlag .
   Google Scholar
• Granger , C. W.J. 1981 . Some properties of time series data and their use in econometric model specification . Journal of Econometrics , 16 : 121 – 130 .
   Web of Science ®Google Scholar
• Engle , R. F. and Granger , C. W.J. 1987 . Co-integration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 276 .
   Web of Science ®Google Scholar
• McCabe , B. P.M. , Leybourne , S. J. and Shin , Y. 1997 . A parametric approach to testing the null of cointegration . Journal of Time Series Analysis , 18 : 395 – 413 .
   Google Scholar
• Hall , A. 1994 . Testing for a unit root in time series with pretest data-based model selection . Journal of Business and Economic Statistics , 12 : 461 – 470 .
   Web of Science ®Google Scholar
• Ng , S. and Perron , P. 1995 . Unit root tests in ARMA models with data dependent methods for the selection of the truncation lag . Journal of the American Statistical Association , 90 : 268 – 281 .
   Web of Science ®Google Scholar
• MacKinnon , J. G. 1991 . “ Critical values for cointegration tests ” . In Long-run Economic Relationships: Readings in Cointegration , Edited by: Engle , R. F. and Granger , C. W.J. 267 – 276 . Oxford : Oxford University Press .
   Google Scholar
• MacKinnon , J. G. , Haug , A. A. and Michelis , L. 1999 . Numerical distribution functions of likelihood ratio tests for cointegration . Journal of Applied Econometrics , 14 : 563 – 577 .
   Web of Science ®Google Scholar
• Phillips , P. C.B. and Ouliaris , S. 1990 . Asymptotic properties of residual based tests for cointegration . Econometrica , 58 : 165 – 193 .
   Web of Science ®Google Scholar
• Phillips , P. C.B. and Perron , P. 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 346 .
   Web of Science ®Google Scholar
• Schwarz , G. 1978 . Estimating the dimension of a model . Annals of Statistics , 6 : 461 – 464 .
   Web of Science ®Google Scholar
• Akaike , H. Information theory and an extension of the maximum likelihood principle . 2nd International Symposium on Information Theory . Edited by: Petrov , B. N. and Csáki , F. pp. 267 – 281 . Budapest : Académiai Kiadó .
   Google Scholar
• Box , G. E.P. and Pierce , D. 1970 . Distribution of residual autocorrelations in autoregressive moving average time series models . Journal of the American Statistical Association , 65 : 1509 – 1526 .
   Google Scholar
• Akaike , H. 1969 . Fitting autoregressive models for prediction . Annals of the Institute of Statistical Mathematics , 21 : 243 – 247 .
   Web of Science ®Google Scholar
• Kwiatkowski , D. , Phillips , P. C.B. , Schmidt , P. and Shin , Y. 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? . Journal of Econometrics , 54 : 159 – 178 .
   Web of Science ®Google Scholar
• Leybourne , S. J. and McCabe , B. P.M. 1994 . A consistent test for a unit root . Journal of Business & Economic Statistics , 12 : 157 – 166 .
   Web of Science ®Google Scholar
• Nishi , R. 1988 . Maximum likelihood principle and model selection when the true model is unspecified . Journal of Multivariate Analysis , 27 : 392 – 403 .
   Google Scholar
• Cheung , Y.-W. and Lai , K. S. 1993 . Finite-sample sizes of Johansen’s likelihood ratio tests for Dickey cointegration . Oxford Bulletin of Economics and Statistics , 55 : 313 – 327 .
   Web of Science ®Google Scholar
• Gonzalo , J. 1994 . Five alternative methods of estimating long run equilibrium relationships . Journal of Econometrics , 60 : 423 – 433 .
   Google Scholar
• Mosconi , R. and Giannini , C. 1992 . Non-causality in cointegrated systems: representation, estimation and testing . Oxford Bulletin of Economics and Statistics , 54 : 399 – 417 .
   Web of Science ®Google Scholar
• Freeman , J. , Houser , D. , Kellstedt , P. M. and Williams , J. T. 1998 . Long-memoried processes, unit roots and causal inference in political science . American Journal of Political Science , 42 : 1289 – 1327 .
   Web of Science ®Google Scholar
• Phillips , P. C.B. 1995 . Fully modified least squares and vector autoregression . Econometrica , 63 : 1023 – 1078 .
   Web of Science ®Google Scholar
• Boudjellaba , H. , Dufour , J.-M. and Roy , R. 1994 . Simplified conditions for noncausality between vectors in multivariate ARMA models . Journal of Econometrics , 63 : 271 – 287 .
   Web of Science ®Google Scholar
• Hoffman , D. L. and Rasche , R. H. 1996 . Assessing forecast performance in a cointegrated system . Journal of Applied Econometrics , 11 : 495 – 517 .
   Web of Science ®Google Scholar
• Quintos , C. E. 1998 . Fully modified VAR inference in partially nonstationary models . Journal of the American Statistical Association , 93 : 783 – 795 .
   Google Scholar
• Gonzalo , J. and Pitarakis , J.-Y. 1998 . Specification via model selection in vector error correction models . Economics Letters , 60 : 321 – 328 .
   Web of Science ®Google Scholar