A Note on the Hiemstra-Jones Test for Granger Non-causality

نویسندگان

  • Cees Diks
  • Valentyn Panchenko
چکیده

We address a consistency problem in the commonly used nonparametric test for Granger causality developed by Hiemstra and Jones (1994). We show that the relationship tested is not implied by the null hypothesis of Granger non-causality. Monte Carlo simulations using processes satisfying the null hypothesis show that, for a given nominal size, the actual rejection rate may tend to one as the sample size increases. Our results imply that evidence for nonlinear Granger causality reported in the applied empirical literature should be re-interpreted.

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تاریخ انتشار 2006