Title of article :
On spurious Granger causality
Author/Authors :
He، Zonglu نويسنده , , Maekawa، Koichi نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2001
Abstract :
The power of the CUSUM test of parameter constancy over time in linear regression models crucially depends on the angle between the mean regressor and the structural change. In particular, when the structural change is orthogonal to the mean regressor, the CUSUM test has virtually no power to detect it. This paper proposes a modification of the CUSUM test to detect such structural changes.
Keywords :
Granger causality , Spurious causality , Non-stationary time series
Journal title :
Economics Letters
Journal title :
Economics Letters