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| Toda-Yamamoto-kausalitetstest× | Granger-kausalitetstest× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1995 | 1969 |
| Upphovsperson≠ | Toda, H. Y. and Yamamoto, T. | Clive W. J. Granger |
| Typ≠ | Causality test | Causality test (F-test on VAR) |
| Ursprungskälla≠ | Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. DOI ↗ | Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438. DOI ↗ |
| Alias | Toda-Yamamoto test, TY causality test, modified Wald test for Granger causality, TY-MWALD | Granger test, GC test, predictive causality test, Granger non-causality test |
| Närliggande | 5 | 5 |
| Sammanfattning≠ | The Toda-Yamamoto (TY) causality test is a modified Wald procedure for testing Granger causality in vector autoregressions (VARs) estimated in levels, even when variables are nonstationary or cointegrated. By intentionally over-fitting the VAR with extra lags equal to the maximum integration order, it restores the standard chi-squared asymptotic distribution of the Wald statistic without requiring prior unit-root or cointegration pretesting. | The Granger causality test is a statistical hypothesis test that determines whether past values of one time series help predict future values of another, beyond what that series' own past already explains. Introduced by Clive Granger in 1969, it is the standard approach for assessing predictive causality in VAR-based time-series analysis. |
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