Tests for Long-Run Granger Non-Causality in Cointegrated Systems

Taku Yamamoto and Eiji Kurozumi ()

Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: In this paper, we propose a new approach to test the hypothesis of long-run Granger non-causality in cointegrated systems. We circumvent the problem of singularity of the variance-covariance matrix associated with the usual Wald type test by proposing a generalized inverse procedure, and an alternative simple procedure which can be approximated by a suitable chi-square distribution. A test for the ranks of submatrices of the cointegration matrix and its orthogonal matrix plays a vital role in the former. The relevant small sample experiments indicate that the proposed method performs reasonably well in finite samples. As empirical applications, we examine long-run causal relations among long-term interest rates of three and five nations.

Keywords: Vector autoregression; Cointegration; Long-run causality; Hypothesis testing (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2003-12
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Tests for Long‐Run Granger Non‐Causality in Cointegrated Systems (2006)
Working Paper: Tests for Long-Run Granger Non-Causality in Cointegrated Systems (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:hst:hstdps:d03-01

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