Compară metode

	Testul de cauzalitate Granger Dolado-Lütkepohl	Testul de Causalitate Granger Toda-Yamamoto
Domeniu	Econometrie	Econometrie
Familie	Hypothesis test	Hypothesis test
Anul apariției	1996	1995
Autorul original	Juan Dolado & Helmut Lütkepohl	Hiro Toda & Taku Yamamoto
Tip	Modified Wald test for Granger causality in possibly integrated or cointegrated VAR systems	Modified Wald test on augmented VAR
Sursa seminală	Dolado, J. J., & Lütkepohl, H. (1996). Making Wald tests work for cointegrated VAR systems. Econometric Reviews, 15(4), 369–386.	Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1–2), 225–250.
Denumiri alternative	DL Causality Test, Modified Wald Causality Test, Augmented VAR Causality Test, Dolado-Lütkepohl Testi	TY Causality Test, Modified Wald Granger Causality, MWALD Test, Toda-Yamamoto Nedensellik Testi
Înrudite	2	3
Rezumat	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 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.