Christopoulos, D.K. and Leon-Ledesma, M.A. (2008) Testing for Granger (non-)causality in a time-varying coefficient VAR model. Journal of Forecasting, 27 (4). pp. 293-303. ISSN 0277-6693 .
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| Official URL http://dx.doi.org/10.1002/for.1060 |
Abstract
In this paper we propose Granger (non-)causality tests based on a VAR model allowing for time-varying coefficients. The functional form of the time-varying coefficients is a logistic smooth transition autoregressive (LSTAR) model using time as the transition variable. The model allows for testing Granger noncausality when the VAR is subject to a smooth break in the coefficients of the Granger causal variables. The proposed test then is applied to the money-output relationship using quarterly US data for the period 1952:2-2002:4. We find that causality from money to output becomes stronger after 1978:4 and the model is shown to have a good out-of-sample forecasting performance for output relative to a linear VAR model.
| Item Type: | Article |
|---|---|
| Additional information: | Research Article |
| Uncontrolled keywords: | granger causality; time-varying coefficients; LSTAR models |
| Subjects: | Q Science > QA Mathematics (inc Computing science) > QA276 Mathematical statistics H Social Sciences > HB Economic Theory |
| Divisions: | Faculties > Social Sciences > School of Economics |
| Depositing User: | Miguel Leon-Ledesma |
| Date Deposited: | 14 Apr 2009 14:27 |
| Last Modified: | 13 Mar 2012 12:00 |
| Resource URI: | http://kar.kent.ac.uk/id/eprint/6288 (The current URI for this page, for reference purposes) |
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