Salīdzināt metodes

	Parametru laika dinamika Toda-Jamamoto cēloņsakarība	Toda-Yamamoto (TY) Granger cēloņsakarības pārbaude
Nozare	Ekonometrija	Ekonometrija
Saime	Regression model	Hypothesis test
Izcelsmes gads	1995 (base); TVP variant emerged early 2000s–2010s	1995
Autors	Toda & Yamamoto (1995); TVP extension by subsequent applied econometricians	Hiro Toda & Taku Yamamoto
Tips	Causality test (time-varying)	Modified Wald test on augmented VAR
Pirmavots	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.
Citi nosaukumi	TVP-TY causality, time-varying Toda-Yamamoto, TVP Granger causality (Toda-Yamamoto), rolling/recursive Toda-Yamamoto causality	TY Causality Test, Modified Wald Granger Causality, MWALD Test, Toda-Yamamoto Nedensellik Testi
Saistītās	3	3
Kopsavilkums	The TVP Toda-Yamamoto causality test combines Toda and Yamamoto's (1995) augmented VAR approach — which handles possibly integrated or cointegrated series without pre-testing for unit roots — with time-varying parameters, allowing causal relationships between variables to shift across different periods rather than remaining fixed throughout the sample.	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.