Monte Carlo evidence on cointegration and causation

Zapata, HO and Rambaldi, AN (1997) Monte Carlo evidence on cointegration and causation. Oxford Bulletin of Economics And Statistics, 59 2: 285-&. doi:10.1111/1468-0084.00065


Author Zapata, HO
Rambaldi, AN
Title Monte Carlo evidence on cointegration and causation
Journal name Oxford Bulletin of Economics And Statistics   Check publisher's open access policy
ISSN 0305-9049
Publication date 1997-01-01
Year available 1997
Sub-type Article (original research)
DOI 10.1111/1468-0084.00065
Open Access Status
Volume 59
Issue 2
Start page 285
End page &
Total pages 15
Place of publication OXFORD
Publisher BLACKWELL PUBL LTD
Language eng
Abstract The small sample performance of Granger causality tests under different model dimensions, degree of cointegration, direction of causality, and system stability are presented. Two tests based on maximum likelihood estimation of error-correction models (LR and WALD) are compared to a Wald test based on multivariate least squares estimation of a modified VAR (MWALD). In large samples all test statistics perform well in terms of size and power. For smaller samples, the LR and WALD tests perform better than the MWALD test. Overall, the LR test outperforms the other two in terms of size and power in small samples.
Keyword Statistics & Probability
Economics
Social Sciences, Mathematical Methods
Vector Autoregressions
Causality
Representation
Inference
Systems
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Unknown

Document type: Journal Article
Sub-type: Article (original research)
Collection: School of Economics Publications
 
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Created: Tue, 14 Aug 2007, 02:51:28 EST