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Testing for Causation Using Infinite Order Vector Autoregressive Processes

Published online by Cambridge University Press:  11 February 2009

Helmut Lütkepohl  and
D.S. POSKITT
Helmut Lütkepohl
Affiliation:
Humboldt-Universität zu Berlin
D.S. POSKITT
Affiliation:
Australian National University
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Abstract

Tests for Granger-causality have been performed in numerous empirical studies. These tests are usually based on finite order vector autoregressive (VAR) processes, and the assumption is made that the model fitted to the available data corresponds to the true data generating mechanism. In the present study, the more general assumption is made that a finite order VAR model is fitted to a potentially infinite order process. The order is assumed to increase with the sample size. Asymptotic properties of tests for Granger-causality as well as other types of causality concepts are derived. Some limited small sample results are obtained using simulation methods.

Type
Research Article
Information
Econometric Theory , Volume 12 , Issue 1 , March 1996 , pp. 61 - 87
Copyright
Copyright © Cambridge University Press 1996

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