Arbeitspapier
Effects of simultaneity on testing Granger-causality: A cautionary note about statistical problems and economic misinterpretations
Interpreting Granger causality as economic causality implies that the underlying VAR model is a structural economic model. However, this is wrong if simultaneity occurs. Magnitude and stability of possible errors are analysed in a simulation study. It is shown that economic misinterpretations of tests of Granger causality can occur with probability one for realistic parameter values. Furthermore, the power of the test can be rather low even with a sample size of T=50.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 93
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Granger causality
test
simultaneity
instantaneous causality
Kausalanalyse
Statistischer Test
Simultanes Gleichungssystem
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Wilde, Joachim
- Ereignis
-
Veröffentlichung
- (wer)
-
Osnabrück University, Institute of Empirical Economic Research
- (wo)
-
Osnabrück
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Wilde, Joachim
- Osnabrück University, Institute of Empirical Economic Research
Entstanden
- 2012
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