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Structural Break Toda-Yamamoto Causality/Evidence
Method evidence record

Structural Break Toda-Yamamoto Causality

The structural break Toda-Yamamoto causality test extends the standard Toda-Yamamoto modified Wald (MWALD) procedure to accommodate one or more structural breaks in the time series. By identifying break dates first and then including dummy variables in the augmented VAR, the test maintains its valid asymptotic chi-squared distribution regardless of the integration or cointegration order of the variables, even in the presence of regime shifts.

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Source record

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

Toda-Yamamoto Causality Test with Structural Breaks
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
  • Zivot, E., & Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics, 10(3), 251-270. · DOI 10.1080/07350015.1992.10509904
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Related methods

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

Taxonomic bucketGranger Causality Testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketStructural Break Granger Causalitymachine-suggested · Relational suggestion, not evidence.Taxonomic bucketStructural Break VAR Modelmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketToda-Yamamoto causality testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketVector Autoregressionmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketZivot-Andrews Structural Break Testmachine-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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