Σύγκριση μεθόδων

	Έλεγχος Αιτιότητας Granger	Δοκιμή Αιτιότητας Toda-Yamamoto
Πεδίο	Οικονομετρία	Οικονομετρία
Οικογένεια	Regression model	Regression model
Έτος προέλευσης	1969	1995
Δημιουργός	Clive W. J. Granger	Toda, H. Y. and Yamamoto, T.
Τύπος	Causality test (F-test on VAR)	Causality test
Θεμελιώδης πηγή	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438.	Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.
Εναλλακτικές ονομασίες	Granger test, GC test, predictive causality test, Granger non-causality test	Toda-Yamamoto test, TY causality test, modified Wald test for Granger causality, TY-MWALD
Συναφείς	5	5
Σύνοψη	The Granger causality test is a statistical hypothesis test that determines whether past values of one time series help predict future values of another, beyond what that series' own past already explains. Introduced by Clive Granger in 1969, it is the standard approach for assessing predictive causality in VAR-based time-series analysis.	The Toda-Yamamoto (TY) causality test is a modified Wald procedure for testing Granger causality in vector autoregressions (VARs) estimated in levels, even when variables are nonstationary or cointegrated. By intentionally over-fitting the VAR with extra lags equal to the maximum integration order, it restores the standard chi-squared asymptotic distribution of the Wald statistic without requiring prior unit-root or cointegration pretesting.