Granger-causality tests

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Vector Autoregressions Macroeconometricians tend to do 4 things • Macroeconomic forecasts • Describe and organize data • Quantify what we do or do not know • Advise policy VAR has proved to be powerful and somewhat reliable for the first 2 Generally there are 3 kinds of VARs • Reduced form • Recursive • Structural
Reduced form VARs Expresses each variable as a linear function of: • It’s own past values • The past values of all other variables considered • A serially uncorrelated error term Each equation is estimated by OLS (Ordinary least squares)
Page 1 and 2: Because sometimes it’s more than
Page 3 and 4: What is causality? What do you thin
Page 5 and 6: Sir Clive William John Granger •B
Page 8 and 9: 1. Run a regression of X 2. Determi
Page 10 and 11: Linear Regression models Used to d
Page 12 and 13: Autoregressive model X t = c + φX
Page 14 and 15: Tools (Continued) F - tests (F dis
Page 16 and 17: F-Tests - on the difficulty of find
Page 20 and 21: Recursive VARs Each error term i
Page 22 and 23: Continuous VAR Can correct for dis
Page 24 and 25: Performance VARs capture comovem
Page 26 and 27: Ljungwall, C. Wang, Z. Why is capit
Page 28 and 29: McCrorie, R. Chambers, M. Granger c
Page 30 and 31: Tian, G. Wan, G. Interaction among
Page 32 and 33: Applications of Granger Causality W
Page 34 and 35: Microfit software Microfit has impr
Page 36: Granger causality is a statistical

Granger-causality tests

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