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.
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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
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
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