On the specification of granger-causality tests using the cointegration methodology

MacDonald, R. and Kearney, C. (1987) On the specification of granger-causality tests using the cointegration methodology. Economics Letters, 25(2), pp. 149-153. (doi:10.1016/0165-1765(87)90052-8)

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Abstract

The application of Granger-causality tests to macroeconomic time series frequently necessitates filtering the data to induce stationarity. If the relevant variables are cointegrated, Granger-causality tests are misspecified if applied in standard vector autoregressive format to differenced data. A common application is illustrated.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: MacDonald, R., and Kearney, C.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Economics Letters
Publisher:Elsevier
ISSN:0165-1765
ISSN (Online):1873-7374

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