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Testing for Granger non-causality using the autoregressive metric
Economic Modelling, 2013Abstract 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
DI IORIO, FRANCESCA, Triacca U.
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The Tourism-Led Growth Hypothesis Test Using Granger's Causality
2022International ...
Afifi, Abderrahmane Nadja +4 more
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Granger Causality Test in the Presence of Spillover Effects
Communications in Statistics - Simulation and Computation, 2009In this article, we investigate the effect of spillover (i.e., causality in variance) on the reliability of Granger causality test based on ordinary least square estimates. We studied eight different versions of the test both, with and without Whites heteroskedasticity consistent covariance matrix (HCCME).
Kristofer Månsson, Ghazi Shukur
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CAUSALITY STUDY FOR CARBON EMISSIONS USING THE GRANGER TEST
Экономика и предпринимательство, 2023В работе представлен анализ применения теста Грэнджера для выявления причин существенного роста выбросов углекислого газа. В результате исследования сформировано разбиение факторов на три группы. The paper presents an analysis of the use of the Granger test to ...
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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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AIP Conference Proceedings, 2014
This paper examines using housing supply as proxy to house prices, the causal relationship on house prices among 8 states in Malaysia by applying the Engle-Granger cointegration test and Granger causality test approach. The target states are Perak, Selangor, Penang, Federal Territory of Kuala Lumpur (WPKL or Kuala Lumpur), Kedah, Negeri Sembilan, Sabah
Yip Chee-Yin, Lim Hock-Eam
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This paper examines using housing supply as proxy to house prices, the causal relationship on house prices among 8 states in Malaysia by applying the Engle-Granger cointegration test and Granger causality test approach. The target states are Perak, Selangor, Penang, Federal Territory of Kuala Lumpur (WPKL or Kuala Lumpur), Kedah, Negeri Sembilan, Sabah
Yip Chee-Yin, Lim Hock-Eam
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On the methodology of energy-GDP Granger causality tests
Energy, 2010Despite their growing technical sophistication and empirical breadth, Granger energy-GDP causality tests remain inconclusive, leaving unresolved the increasingly relevant debate over the role of energy or energy growth in economic growth. While historians and growth theorists point to the development of the steam engine, the electromagnetic motor and ...
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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 Granger Causality in the presence of threshold effects
International Journal of Forecasting, 2006Abstract This paper proposes a Granger Causality test allowing for threshold effects. The proposed test can be conducted on the basis of the threshold autoregressive distributed lag model or the augmented logistic smooth transition autoregressive model. The proposed test is applied to the U.S.
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International Journal of Forecasting, 2008
Decomposing Granger causality over the spectrum allows us to disentangle potentially different Granger causality relationships over different frequencies. This may yield new and complementary insights compared to traditional versions of Granger causality.
Croux, Christophe +2 more
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Decomposing Granger causality over the spectrum allows us to disentangle potentially different Granger causality relationships over different frequencies. This may yield new and complementary insights compared to traditional versions of Granger causality.
Croux, Christophe +2 more
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