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Nonlinear Toda-Yamamoto Causality/Evidence
Method evidence record

Nonlinear Toda-Yamamoto Causality

The Nonlinear Toda-Yamamoto causality test extends the classic Toda-Yamamoto (1995) modified Wald procedure to detect causal linkages that are hidden in the means of series but manifest through nonlinear dynamics such as asymmetries, threshold effects, or volatility transmission. It fits an augmented VAR on rank-transformed or otherwise nonlinearly mapped series and applies a chi-squared Wald test on the extra-lag coefficients.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Nonlinear Toda-Yamamoto Granger Causality Test
Taxonomic method record · regression-model / econometrics
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. · DOI 10.1016/0304-4076(94)01616-8
  • Sims, C. A., Stock, J. H., & Watson, M. W. (1990). Inference in linear time series models with some unit roots. Econometrica, 58(1), 113-144. · DOI 10.2307/2938337
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Curated claims

Claims persisted in the evidence ledger, each with its own assessment.

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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyCointegration Testmachine-suggested · Relational suggestion, not evidence.Same method familyGranger Causalitymachine-suggested · Relational suggestion, not evidence.Taxonomic bucketNonlinear Granger Causalitymachine-suggested · Relational suggestion, not evidence.Used in the same domainToda-Yamamoto Causalitymachine-suggested · Relational suggestion, not evidence.Same method familyVAR Modelmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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