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| Tests for Long-Run Granger Non-Causality in Cointegrated Systems |
| Taku Yamamoto & Eiji Kurozumi |
| In this paper, we propose a new approach
to test the hypothesis of long-run Granger non-causality in cointegrated systems.
We circumvent the problem of singularity of the variance-covariance matrix associated
with the usual Wald type test by proposing a generalized inverse procedure, and
an alternative simple procedure which can be approximated by a suitable chi-square
distribution. A test for the ranks of submatrices of the cointegration matrix
and its orthogonal matrix plays a vital role in the former. The relevant small
sample experiments indicate that the proposed method performs reasonably well
in finite samples. As empirical applications, we examine long-run causal relations
among long-term interest rates of three and five nations. |
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| Copyright (C) 2003 by Institute of Economic
Research.All rights reserved. |
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