Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096468 | Journal of Econometrics | 2012 | 8 Pages |
Abstract
Previous literature has introduced causality tests with conventional limiting distributions in I(0)/I(1) vector autoregressive (VAR) models with unknown integration orders, based on an additional surplus lag in the specification of the estimated equation, which is not included in the tests. By extending this surplus lag approach to an infinite order VARX framework, we show that it can provide a highly persistence-robust Granger causality test that accommodates i.a stationary, nonstationary, local-to-unity, long-memory, and certain (unmodelled) structural break processes in the forcing variables within the context of a single Ï2 null limiting distribution.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Dietmar Bauer, Alex Maynard,