Testing for granger (non-) causality in a time varying coefficient VAR model

Arbeitspapier

In this paper we propose Granger (non-)causality tests based on a VAR model allowing for time-varying coefficients. The functional form of the time-varying coefficients is a Logistic Smooth Transition Autoregressive (LSTAR) model using time as the transition variable. The model allows for testing Granger non-causality when the VAR is subject to a smooth break in the coefficients of the Granger causal variables. The proposed test then is applied to the money-output relationship using quarterly US data for the period 1952:2-2002:4. We find that causality from money to output becomes stronger after 1978:4 and the model is shown to have a good out of sample forecasting performance for output relative to a linear VAR model.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Department of Economics Discussion Paper ; No. 08,02

Classification and Topics

• Classification: Wirtschaft ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection
• Subject: Granger causality ; Time-varying coefficients ; LSTAR models ; Kausalanalyse ; VAR-Modell ; Zeitreihenanalyse ; Statistische Methodenlehre ; Geldmenge ; Gesamtwirtschaftliche Produktion ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Christopoulos, Dimitris K. ; León-Ledesma, Miguel
• Event: Veröffentlichung
• (who): University of Kent, Department of Economics
• (where): Canterbury
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/68118
• Last update: 10.03.2025, 11:42 AM CET