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The Granger Non-Causality Test in Cointegrated Vector Autoregressions


Hiroaki Chigira & Taku Yamamoto


December 2003


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Abstract
In general, Wald tests for the Granger non-causality in vector autoregressive (VAR) process are known to have non-standard asymptotic properties for cointegrated systems. However, that may have standard asymptotic properties depending on the rank of the submatrix of cointegration. In this paper, we propose a procedure for conducting Granger non-causality tests that are based on discrimination of these asymptotic properties. This paper also investigate the finite sample performance of our testing procedure, and compare the testing procedure with conventional causality tests in levels VAR’s.
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Copyright (C) 2003 by Institute of Economic Research.All rights reserved.