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Testing for Granger (non-)causality in a time-varying coefficient VAR model

Christopoulos, Dimitris K, Leon-Ledesma, Miguel 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. (doi:10.1002/for.1060) (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:6288)

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/10.1002/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
DOI/Identification number: 10.1002/for.1060
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: Divisions > Division of Human and Social Sciences > School of Economics
Depositing User: Miguel Leon-Ledesma
Date Deposited: 14 Apr 2009 14:27 UTC
Last Modified: 16 Nov 2021 09:44 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/6288 (The current URI for this page, for reference purposes)

University of Kent Author Information

Leon-Ledesma, Miguel A..

Creator's ORCID: https://orcid.org/0000-0002-3558-2990
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