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Western Journal of Agricultural Economics >
Volume 13, Number 02, December 1988 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/32108
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| Title: | IDENTIFYING CAUSAL RELATIONSHIPS BETWEEN NONSTATIONARY STOCHASTIC PROCESSES: AN EXAMINATION OF ALTERNATIVE APPROACHES IN SMALL SAMPLES |
| Authors: | Zapata, Hector O.
Hudson, Michael A.
Garcia, Philip |
| Issue Date: | 1988-12 |
| Abstract: | A Monte Carlo investigation is used to examine the performance of two commonly used tests for Granger causality for univariate and bivariate nonstationary ARMA (p,q) processes. Tests are applied to raw data, first differences of the raw data, and detrended versions of the series. The results indicate that for independent series the tests are robust regardless of sample size. With bivariate series and nonstationarity, the tests results are sensitive to the ARMA specification, whether the data are filtered and the type of filter used, and the sample size. |
| URI: | http://purl.umn.edu/32108 |
| Institution/Association: | Western Journal of Agricultural Economics>Volume 13, Number 02, December 1988 |
| Total Pages: | 14 |
| Language: | English |
| From Page: | 202 |
| To Page: | 215 |
| Collections: | Volume 13, Number 02, December 1988
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