Testing for Granger non-causality using the autoregressive metric

摘要

A new non-causality test based on the notion of distance between ARMA models is proposed in this paper. The advantage of this test is that it can be used in possible integrated and reintegrated systems, without pre-testing for unit roots and cointegration. The Monte Carlo experiments indicate that the proposed method performs reasonably well in finite samples. The empirical relevance of the test is illustrated via an application.