Comparer des méthodes

	Causalité de Granger avec rupture structurelle	Test de Causalité de Granger de Toda-Yamamoto
Domaine	Économétrie	Économétrie
Famille	Regression model	Hypothesis test
Année d'origine	1995-2010	1995
Auteur d'origine	Granger (1969) causality framework extended by Toda & Yamamoto (1995) and Balcilar et al. (2010)	Hiro Toda & Taku Yamamoto
Type	Hypothesis test / time-series model	Modified Wald test on augmented VAR
Source fondatrice	Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.	Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1–2), 225–250.
Alias	break-robust Granger causality, Granger causality under regime change, time-varying Granger causality, structural change Granger test	TY Causality Test, Modified Wald Granger Causality, MWALD Test, Toda-Yamamoto Nedensellik Testi
Apparentées	3	3
Résumé	Structural break Granger causality extends the classic Granger causality framework to accommodate regime shifts and parameter instability in time series. By detecting break points and testing causality within sub-samples or via rolling/recursive windows, it reveals whether a predictive relationship between variables switches on, switches off, or changes direction over time.	The Toda-Yamamoto (TY) causality test, introduced by Toda and Yamamoto (1995), provides a robust procedure for testing Granger non-causality in vector autoregressive (VAR) models when the variables may be integrated or cointegrated of arbitrary order. By intentionally over-fitting the VAR with extra lags equal to the maximum integration order, the method bypasses the need for pre-testing cointegration and preserves the standard asymptotic chi-squared distribution of the Wald statistic.