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| 时变参数Toda-Yamamoto因果关系× | Toda-Yamamoto Granger 因果检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族≠ | Regression model | Hypothesis test |
| 起源年份≠ | 1995 (base); TVP variant emerged early 2000s–2010s | 1995 |
| 提出者≠ | Toda & Yamamoto (1995); TVP extension by subsequent applied econometricians | Hiro Toda & Taku Yamamoto |
| 类型≠ | Causality test (time-varying) | Modified Wald test on augmented VAR |
| 开创性文献≠ | Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. DOI ↗ | Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1–2), 225–250. DOI ↗ |
| 别名 | 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 |
| 相关 | 3 | 3 |
| 摘要≠ | 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. |
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