Finite sample effects of additive outliers on the Granger-causality test with an application to money growth and inflation in Peru

Thierno A. Baldé; Gabriel Rodríguez

doi:10.1080/13504850500372992

Finite sample effects of additive outliers on the Granger-causality test with an application to money growth and inflation in Peru

Thierno A. Baldé, Gabriel Rodríguez

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

We established, via finite sample simulations, that additive outliers have important effects on the exact size of the statistic for testing for Granger causality. An empirical application illustrates the effects of neglecting for additive outliers.

Original language	English
Pages (from-to)	841-844
Number of pages	4
Journal	Applied Economics Letters
Volume	12
Issue number	13
DOIs	https://doi.org/10.1080/13504850500372992
State	Published - 20 Oct 2005
Externally published	Yes

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abstract = "We established, via finite sample simulations, that additive outliers have important effects on the exact size of the statistic for testing for Granger causality. An empirical application illustrates the effects of neglecting for additive outliers.",

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Finite sample effects of additive outliers on the Granger-causality test with an application to money growth and inflation in Peru

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