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Granger Causality Test in the Presence of Spillover Effects
Växjö University, Faculty of Humanities and Social Sciences, School of Management and Economics. (EHV, National ekonomi och Statistik, CAFO)ORCID iD: 0000-0002-3416-5896
2009 (English)In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 38, no 10, p. 2039-2059Article in journal (Refereed) Published
Abstract [en]

In this article, we investigate the effect of spillover (i.e., causality in variance) on the reliability of Granger causality test based on ordinary least square estimates. We studied eight different versions of the test both, with and without Whites heteroskedasticity consistent covariance matrix (HCCME). The properties of the tests are investigated by means of a Monte Carlo experiment where 21 different data generating processes (DGP) are used and a number of factors that might affect the test are varied. The result shows that the best choice to test for Granger causality under the presence of spillover is the Lagrange Multiplier test with HCCME.

Place, publisher, year, edition, pages
2009. Vol. 38, no 10, p. 2039-2059
National Category
Economics
Research subject
Economy, Economics
Identifiers
URN: urn:nbn:se:vxu:diva-6390DOI: 10.1080/03610910903243695OAI: oai:DiVA.org:vxu-6390DiVA, id: diva2:280910
Available from: 2009-12-12 Created: 2009-12-12 Last updated: 2020-01-24Bibliographically approved

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