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- Title
Application of Bootstrap Methods in Investigation of Size of the Granger Causality Test for Integrated VAR Systems.
- Authors
Lach, Łukasz
- Abstract
This paper examines the size performance of the Toda-Yamamoto test for Granger causality in the case of trivariate integrated and cointegrated VAR systems. The standard asymptotic distribution theory andthe residual-based bootstrap approach are applied. A variety of types of distribution of error term is considered. The impact of misspecification of initial parameters as well as the influence of an increase in sample size and number of bootstrap replications on size performance of Toda-Yamamoto test statistics is also examined. The results of the conducted simulation study confirm that standard asymptotic distribution theory may often cause significant over-rejection. Application of bootstrap methods usually leads to improvement of size performance of the Toda-Yamamoto test. However, in some cases the considered bootstrap method also leads to serious size distortion and performs worse than the traditional approach based on ?2 distribution.
- Subjects
CAUSALITY (Physics); VALUE-added resellers; CAUSAL models; STATISTICAL bootstrapping; ASYMPTOTIC distribution; ERROR analysis in mathematics; SIMULATION methods &; models; SAMPLE size (Statistics); STATISTICAL sampling
- Publication
Managing Global Transitions: International Research Journal, 2010, Vol 8, Issue 2, p167
- ISSN
1581-6311
- Publication type
Article