On spurious Granger causality

Autor: Koichi Maekawa, Zonglu He
Rok vydání: 2001
Předmět:
Zdroj: Economics Letters. 73:307-313
ISSN: 0165-1765
DOI: 10.1016/s0165-1765(01)00498-0
Popis: This paper points out that F statistic for testing Granger causality often leads to spurious causality between two independent and irrelative processes x t and y t where one of or both of them is or are non-stationary. To show this we derive non-standard asymptotic distributions of F statistics and simulate the distributions of them by Monte Carlo experiment under three simple data generating processes.
Databáze: OpenAIRE
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