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The effect of spillover on the Granger causality test
Journal of Applied Statistics, 2010In this paper, we investigate the properties of the Granger causality test in stationary and stable vector autoregressive models under the presence of spillover effects, that is, causality in variance. The Wald test and the WW test (the Wald test with White's proposed heteroskedasticity-consistent covariance matrix estimator imposed) are analyzed.
Panagiotis Mantalos, Ghazi Shukur
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Testing for Granger-causality in quantiles
Econometric Reviews, 2016ABSTRACTThis paper proposes a consistent parametric test of Granger-causality in quantiles. Although the concept of Granger-causality is defined in terms of the conditional distribution, most articles have tested Granger-causality using conditional mean regression models in which the causal relations are linear. Rather than focusing on a single part of
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Testing for Granger causality in variance in the presence of causality in mean
Economics Letters, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Pantelidis, Theologos, Pittis, Nikitas
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Testing for Granger Causality in Moments
Oxford Bulletin of Economics and Statistics, 2015AbstractIn this paper, we consider a generalized approach which is flexibly applicable to testing Granger causality in various moments and in both the full‐sample and out‐of‐sample contexts. We further use this approach to establish a class of cross‐correlation tests for financial time series analysis, and show the advantages of this class of tests in ...
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Granger Causality Testing with Intensive Longitudinal Data
Prevention Science, 2018The availability of intensive longitudinal data obtained by means of ambulatory assessment opens up new prospects for prevention research in that it allows the derivation of subject-specific dynamic networks of interacting variables by means of vector autoregressive (VAR) modeling.
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On the specification of granger-causality tests using the cointegration methodology
Economics Letters, 1987zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Macdonald, Ronald, Kearney, Colm
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Research output and economic productivity: a Granger causality test
Scientometrics, 2011The correlation between GDP and research publications is an important issue in scientometrics. This article provides further empirical evidence connecting revealed comparative advantage in national research with effects on economic productivity. Using quantitative time series analysis, this study attempts to determine the nature of causal relationships
Ling-Chu Lee +3 more
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Persistence-robust Granger causality testing [PDF]
, 2010 The observed persistence common in economic time series may arise from a variety of models that are not always distinguished with confidence in practice, yet play an important role in model specification and second stage inference procedures. Previous literature has introduced causality tests with conventional limiting distributions in I(0)/I(1)VAR ...
Dietmar Bauer, Alex Maynard
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The Effects of Detrending in Granger Causality Tests
Journal of Business & Economic Statistics, 1985Nonstationary time series are frequently detrended in empirical investigations by regressing the series on time or a function of time. The effects of the detrending on the tests for causal relationships in the sense of Granger are investigated using quarterly U.S. data.
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Testing for Granger-Causality in Expectiles With An Application to Financial Contagion
SSRN Electronic Journal, 2022Feipeng Zhang, Yixiong Xu, Di Yuan
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