Sammenlign metoder

	Dolado-Lütkepohl Granger-kausalitetstest	Granger-kausalitetstest
Fagfelt	Økonometri	Økonometri
Familie	Hypothesis test	Regression model
Opprinnelsesår	1996	1969
Opphavsperson	Juan Dolado & Helmut Lütkepohl	Clive W. J. Granger
Type	Modified Wald test for Granger causality in possibly integrated or cointegrated VAR systems	Time-series predictive causality test
Opprinnelig kilde	Dolado, J. J., & Lütkepohl, H. (1996). Making Wald tests work for cointegrated VAR systems. Econometric Reviews, 15(4), 369–386.	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438.
Alias	DL Causality Test, Modified Wald Causality Test, Augmented VAR Causality Test, Dolado-Lütkepohl Testi	Granger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi
Relaterte	2	5
Sammendrag	The Dolado-Lütkepohl (DL) test, introduced by Dolado and Lütkepohl (1996), is a modified Wald procedure for testing Granger causality in vector autoregressive (VAR) systems whose variables may be integrated or cointegrated. By fitting a VAR of slightly higher order than necessary and restricting the Wald statistic to the first p lag blocks, the test recovers the standard chi-squared limiting distribution without requiring pre-testing for cointegration or transformation to error-correction form.	The Granger causality test, introduced by Clive W. J. Granger in 1969, assesses whether the past values of one time series help predict another beyond what the latter's own past already explains. It defines causality in a strictly predictive sense rather than as a structural or physical cause.