Artikel
A pitfall in using the characterization of Granger non-gausality in vector autoregressive models
It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that if this assumption is violated, then the characterization of Granger non-causality in a VAR model fails to hold. In these situations Granger non-causality test results must be interpreted with caution.
- Language
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Englisch
- Bibliographic citation
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 3 ; Year: 2015 ; Issue: 2 ; Pages: 233-239 ; Basel: MDPI
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Subject
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covariance matrix
Granger causality
time series
- Event
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Geistige Schöpfung
- (who)
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Triacca, Umberto
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2015
- DOI
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doi:10.3390/econometrics3020233
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Triacca, Umberto
- MDPI
Time of origin
- 2015
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