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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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.
|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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