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 |
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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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