Arbeitspapier
Causality and Regime Inference in a Markov Switching VAR
This paper analyses three Granger noncausality hypotheses within a conditionally Gaussian MS-VAR model. Noncausality in mean is based on Granger´s original concept for linear predictors by defining noncausality from the 1-step ahead forecast error variance for the conditional expectation. Noncausality in mean-variance concerns the conditional forecast error variance, while noncausality in distribution refers to the conditional distribution of the forecast errors. Necessary and sufficient parametric conditions for noncausality are presented for all hypotheses. As an illustration, the hypotheses are tested using monthly postwar U.S. data on money and income. We find that money is not Granger causal in mean for income, but Granger causal in mean-variance, i.e there is unique information in money for predicting the next period regime and the regime affects the uncertainty about the income forecast.
- Language
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Englisch
- Bibliographic citation
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Series: Sveriges Riksbank Working Paper Series ; No. 118
- 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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Granger causality
Markov process
Regime switching
Vector autoregression
- Event
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Geistige Schöpfung
- (who)
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Warne, Anders
- Event
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Veröffentlichung
- (who)
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Sveriges Riksbank
- (where)
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Stockholm
- (when)
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2000
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Warne, Anders
- Sveriges Riksbank
Time of origin
- 2000
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