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Activity Number:
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212
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Type:
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Contributed
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Date/Time:
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Monday, August 3, 2009 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #303752 |
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Title:
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Tests for Causality Between Two Infinite-Order Vector Autoregressive Series
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Author(s):
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Chafik Bouhaddioui*+ and Jean-Marie Dufour
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Companies:
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United Arab Emirates University and McGill University
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Address:
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College of Business and Economics, Al Ain, International, , United Arab Emirates
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Keywords:
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Granger Causality ; Indirect Causality ; Infinite-order VAR process ; Bootstrap ; Macroeconomics
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Abstract:
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We propose a test for non-causality at various horizons for infinite-order vector autoregressive. We first introduce multiple horizon infinite-order vector autoregressions which can be approximated by a multiple horizon finite-order vector autoregressions. The order is assumed to increase with the sample size. Under some regularity conditions, we study the estimation of parameters obtained from the approximation of the infinite-order autoregression by a finite-order autoregression. The test can be implemented simply through linear regression methods and do not involve the use of artificial simulations. The asymptotic distribution of the new test statistic is derived under the hypothesis of non-causality at various horizons. An asymptotic power of the test will be studied. Bootstrap procedures are also considered. The methods are applied to a VAR model of the US economy.
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