Vector Autoregressions and Causality
This paper develops a limit theory for Wald tests of Granger causality in levels vector autoregressions (VAR's) and Johansen-type error correction models (ECM's), allowing for the presence of stochastic trends and cointegration. Earlier work by Sims, Stock, and Watson (1990) on trivariate...
| Veröffentlicht in: | Econometrica. - Wiley. - 61(1993), 6, Seite 1367-1393 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1993
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| Zugriff auf das übergeordnete Werk: | Econometrica |
| Schlagworte: | Error correction model exogeneity Granger causality maximum likelihood nonstandard limit theory nuisance parameters vector autoregression Wald test Philosophy Mathematics |