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

Statistics Canada
University of Ottawa

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

4 Citas (Scopus)

Resumen

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.

Idioma original	Inglés
Páginas (desde-hasta)	841-844
Número de páginas	4
Publicación	Applied Economics Letters
Volumen	12
N.º	13
DOI	https://doi.org/10.1080/13504850500372992
Estado	Publicada - 20 oct. 2005
Publicado de forma externa	Sí

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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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AU - Rodríguez, Gabriel

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N2 - 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.

AB - 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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