Granger Causality and Unit Roots

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Granger Causality and Unit Roots. / Rodríguez-Caballero, Carlos Vladimir; Ventosa-Santaulària, Daniel.

In: Journal of Statistical and Econometric Methods, Vol. 3, No. 1, 2014, p. 97-114.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

Harvard

Rodríguez-Caballero, CV & Ventosa-Santaulària, D 2014, 'Granger Causality and Unit Roots', Journal of Statistical and Econometric Methods, vol. 3, no. 1, pp. 97-114. <http://www.scienpress.com/journal_focus.asp?main_id=68&Sub_id=IV&Issue=1097>

APA

Rodríguez-Caballero, C. V., & Ventosa-Santaulària, D. (2014). Granger Causality and Unit Roots. Journal of Statistical and Econometric Methods, 3(1), 97-114. http://www.scienpress.com/journal_focus.asp?main_id=68&Sub_id=IV&Issue=1097

CBE

Rodríguez-Caballero CV, Ventosa-Santaulària D. 2014. Granger Causality and Unit Roots. Journal of Statistical and Econometric Methods. 3(1):97-114.

MLA

Rodríguez-Caballero, Carlos Vladimir and Daniel Ventosa-Santaulària. "Granger Causality and Unit Roots". Journal of Statistical and Econometric Methods. 2014, 3(1). 97-114.

Vancouver

Rodríguez-Caballero CV, Ventosa-Santaulària D. Granger Causality and Unit Roots. Journal of Statistical and Econometric Methods. 2014;3(1):97-114.

Author

Rodríguez-Caballero, Carlos Vladimir ; Ventosa-Santaulària, Daniel. / Granger Causality and Unit Roots. In: Journal of Statistical and Econometric Methods. 2014 ; Vol. 3, No. 1. pp. 97-114.

Bibtex

@article{aee0a05dc7a44324b33dc1fd0d2f951a,

title = "Granger Causality and Unit Roots",

abstract = "The asymptotic behavior of the Granger-causality test under stochastic nonstationarity is studied. Our results confirm that the inference drawn from the test is not reliable when the series are integrated to the first order. In the presence of deterministic components, the test statistic diverges, eventually rejecting the null hypothesis, even when the series are independent of each other. Moreover, controlling for these deterministic elements (in the auxiliary regressions of the test) does not preclude the possibility of drawing erroneous inferences. Granger-causality tests should not be used under stochastic nonstationarity, a property typically found in many macroeconomic variables.",

keywords = "Granger-causality, Unit root, Drift",

author = "Rodr{\'i}guez-Caballero, {Carlos Vladimir} and Daniel Ventosa-Santaul{\`a}ria",

year = "2014",

language = "English",

volume = "3",

pages = "97--114",

journal = "Journal of Statistical and Econometric Methods",

issn = "2241-0376",

publisher = "Scienpress Ltd",

number = "1",

}

RIS

TY - JOUR

T1 - Granger Causality and Unit Roots

AU - Rodríguez-Caballero, Carlos Vladimir

AU - Ventosa-Santaulària, Daniel

PY - 2014

Y1 - 2014

N2 - The asymptotic behavior of the Granger-causality test under stochastic nonstationarity is studied. Our results confirm that the inference drawn from the test is not reliable when the series are integrated to the first order. In the presence of deterministic components, the test statistic diverges, eventually rejecting the null hypothesis, even when the series are independent of each other. Moreover, controlling for these deterministic elements (in the auxiliary regressions of the test) does not preclude the possibility of drawing erroneous inferences. Granger-causality tests should not be used under stochastic nonstationarity, a property typically found in many macroeconomic variables.

AB - The asymptotic behavior of the Granger-causality test under stochastic nonstationarity is studied. Our results confirm that the inference drawn from the test is not reliable when the series are integrated to the first order. In the presence of deterministic components, the test statistic diverges, eventually rejecting the null hypothesis, even when the series are independent of each other. Moreover, controlling for these deterministic elements (in the auxiliary regressions of the test) does not preclude the possibility of drawing erroneous inferences. Granger-causality tests should not be used under stochastic nonstationarity, a property typically found in many macroeconomic variables.

KW - Granger-causality

KW - Unit root

KW - Drift

M3 - Journal article

VL - 3

SP - 97

EP - 114

JO - Journal of Statistical and Econometric Methods

JF - Journal of Statistical and Econometric Methods

SN - 2241-0376

IS - 1

ER -

Department of Economics and Business Economics