Pantelidis, Theologos (2015) Testing for causality in the presence of leading variables. Economics and Business Letters, 4 (1). pp. 17-29. ISSN 2254-4380. (doi:10.17811/ebl.4.1.2015.17-29) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:56702)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| Official URL: http://dx.doi.org/10.17811/ebl.4.1.2015.17-29 |
Abstract
This paper provides useful guidelines to practitioners who investigate causality-in-mean and/or causality-in-variance within a trivariate system by means of the two-step procedure proposed by Cheung and Ng (Journal of Econometrics, 1996) and modified by Hong (Journal of Econometrics, 2001). Specifically, this study highlights cases that can mislead the researcher into reporting false causal relations among the variables under scrutiny. The results of Monte Carlo simulations reveal the seriousness of the problem. Finally, an empirical application that investigates causality-in-mean among three major European stock markets illustrates the proper procedure to follow for correct inference.
| Item Type: | Article |
|---|---|
| DOI/Identification number: | 10.17811/ebl.4.1.2015.17-29 |
| Uncontrolled keywords: | causality-in-mean, causality-in-variance, leading variable, simulation |
| Subjects: | H Social Sciences |
| Divisions: | Divisions > Kent Business School - Division > Kent Business School (do not use) |
| Depositing User: | Tracey Pemble |
| Date Deposited: | 01 Aug 2016 09:52 UTC |
| Last Modified: | 17 Aug 2022 11:00 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/56702 (The current URI for this page, for reference purposes) |
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