Document Type
Discussion Paper
Publication Date
5-1-1991
CFDP Number
977
CFDP Pages
51
Abstract
This paper develops a complete limit theory for Wald tests of Granger causality in levels vector autoregression (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 VAR systems is extended to the general case, thereby formally characterizing the circumstances when these Wald tests are asymptotically valid as chi-square criteria. Our results for inference from unrestricted levels VAR are not encouraging.
Recommended Citation
Toda, Hiro Y. and Phillips, Peter C.B., "Vector Autoregression and Causality" (1991). Cowles Foundation Discussion Papers. 1220.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1220