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Granger Causality T...
Granger Causality Test in the Presence of Spillover Effects
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- Månsson, Kristofer, 1983- (author)
- Jönköping University,IHH, Nationalekonomi
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- Shukur, Ghazi (author)
- Växjö universitet,Jönköping University,IHH, Nationalekonomi,Ekonomihögskolan, EHV,EHV, National ekonomi och Statistik, CAFO
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(creator_code:org_t)
- 2009-09-29
- 2009
- English.
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In: Communications in statistics. Simulation and computation. - : Informa UK Limited. - 0361-0918 .- 1532-4141. ; 38:10, s. 2039-2059
- Related links:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Subject headings
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- In this article, we investigate the effect of spillover (i.e., causality in variance) on the reliability of Granger causality test based on ordinary least square estimates. We studied eight different versions of the test both, with and without Whites heteroskedasticity consistent covariance matrix (HCCME). The properties of the tests are investigated by means of a Monte Carlo experiment where 21 different data generating processes (DGP) are used and a number of factors that might affect the test are varied. The result shows that the best choice to test for Granger causality under the presence of spillover is the Lagrange Multiplier test with HCCME.
Subject headings
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Keyword
- GARCH
- Granger causality test
- Power
- Size
- Spillover
- Economics
Publication and Content Type
- ref (subject category)
- art (subject category)
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