Testing for Granger Causality in Moments
Journal
Oxford Bulletin of Economics and Statistics
Journal Volume
78
Journal Issue
2
Pages
265-288
Date Issued
2016
Author(s)
Abstract
Abstract In this paper, we consider a generalized approach which is flexibly applicable to testing Granger causality in various moments and in both the full‐sample and out‐of‐sample contexts. We further use this approach to establish a class of cross‐correlation tests for financial time series analysis, and show the advantages of this class of tests in unifying and generalizing Box–Pierce‐type Granger causality tests. We also conduct a Monte Carlo simulation to show the validity of our tests, and provide an empirical example to demonstrate the flexibility of our tests in exploring various types of Granger causality.
SDGs
Type
journal article