Testing for causation using infinite order vector autoregressive processes

Helmut Lütkepohl, D. S. Poskitt

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25 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)61-87
Number of pages27
JournalEconometric Theory
Volume12
Issue number1
Publication statusPublished - 1 Dec 1996
Externally publishedYes

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