The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Vector Autoregressions and Causality
Abstract
A limit theory for Wald tests of Granger causality in levels vector autoregressions (VAR's) and error correction models (ECM's) is developed, which allows for stochastic trends and cointegration. Earlier work is extended to the general case, thereby characterizing when these Wald tests are asymptotically valid as 'x'(superscript 2) criteria. Our results for inference from unrestricted levels VAR are not encouraging: the limit theory often involves nuisance parameters and nonstandard distributions, a situation offering no satisfactory statistical basis for these tests. Granger causality tests in ECM's also suffer from nuisance parameter dependencies asymptotically and in some cases nonstandard limit theory. Both these results are somewhat surprising in light of earlier research. Copyright 1993 by The Econometric Society.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Cited by
Statistical inference in vector autoregressions with possibly integrated processes
Toda, H. Y., & Yamamoto, T. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01616-8 · Cited by 6,108
Self-citationDoes financial development cause economic growth? Time-series evidence from 16 countries
Demetriades, P. O., & Hussein, K. A. (1996) · Journal of Development Economics · doi:10.1016/s0304-3878(96)00421-x · Cited by 1,539
Financial Development and Economic Growth: The Role of Stock Markets
Arestis, P., Demetriades, P. O., & Luintel, K. B. (2001) · Journal of Money, Credit and Banking · doi:10.2307/2673870 · Cited by 1,110
The relationship between GDP and electricity consumption in 10 Asian countries
Chen, S.-T., Kuo, H.-I., & Chen, C.-C. (2007) · Energy Policy · doi:10.1016/j.enpol.2006.10.001 · Cited by 589
INFRASTRUCTURE, LONG‐RUN ECONOMIC GROWTH AND CAUSALITY TESTS FOR COINTEGRATED PANELS
CANNING, D., & PEDRONI, P. (2008) · The Manchester School · doi:10.1111/j.1467-9957.2008.01073.x · Cited by 421
Hakim, M. M., & Merkert, R. (2016) · Journal of Transport Geography · doi:10.1016/j.jtrangeo.2016.09.006 · Cited by 217
The causal relationship between GDP and domestic air passenger traffic in Brazil
Fernandes, E., & Pacheco, R. R. (2010) · Transportation Planning and Technology · doi:10.1080/03081060.2010.512217 · Cited by 131
Demand-following or supply-leading? Trade openness and financial development in China
Fan, J.-J., Xu, R., Su, C. W., & Shi, Q.-H. (2018) · The Journal of International Trade & Economic Development · doi:10.1080/09638199.2017.1390779 · Cited by 16
Metadata
- Authors
- Toda, H. Y., & Phillips, P. C. B.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1993-11
- Volume
- 61
- Issue
- 6
- Pages
- 1367
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W2076578229
- Cited by
- 865
- References
- 1
- FWCI
- 70.28
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
