Granger-causality tests

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Tian, G. Wan, G. Interaction among China-related stocks: evidence from a <strong>causality</strong> test with a new procedure. Applied Financial Economics, 2004, 14, 67-72
Applications of <strong>Granger</strong> Causality What is it used for? Application 1 – Economics! Stock prices Exchange rates Bonds Futures Capital flows Currency Interest Trading volume Co-integration
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 18 and 19: Vector Autoregressions Macroeconom
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 32 and 33: Applications of Granger Causality W
Page 34 and 35: Microfit software Microfit has impr
Page 36: Granger causality is a statistical

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