On spurious Granger causality

被引：81

作者：

He, ZL

Maekawa, K

机构：

[1] Hiroshima Univ, Fac Econ, Hiroshima 7398525, Japan

[2] Hiroshima Aki Womens Univ, Dept Management, Hiroshima, Japan

来源：

ECONOMICS LETTERS | 2001年 / 73卷 / 03期

关键词：

Granger causality; spurious causality; non-stationary time series;

D O I：

10.1016/S0165-1765(01)00498-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper points out that F statistic for testing Granger causality often leads to spurious causality between two independent and irrelative processes {x(t)} and {y(t)} where one of or both of them is or are non-stationary. To show this we derive non-standard asymptotic distributions of F statistics and simulate the distributions of them by Monte Carlo experiment under three simple data generating processes. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：307 / 313

页数：7