Registro completo |
Provedor de dados: |
31
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País: |
United States
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Título: |
Mixed Unit Roots and Deterministic Trends in Noncausality Tests
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Autores: |
Ran, Tao
Zapata, Hector O.
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Data: |
2008-04-22
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Ano: |
2008
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Palavras-chave: |
Research Methods/ Statistical Methods
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Resumo: |
Using Japanese economic data and a Monte Carlo simulation, this study analyzes the consequences of ignoring deterministic trends in mixed unit-root data for Granger noncausality tests. Results from an augmented VAR suggest over-rejection in certain empirically relevant cases at various sample sizes.
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Tipo: |
Conference Paper or Presentation
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Idioma: |
Inglês
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Identificador: |
29357
http://purl.umn.edu/6745
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Relação: |
Southern Agricultural Economics Association>2008 Annual Meeting, February 2-6, 2008, Dallas, Texas
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Formato: |
20
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