方法对比
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| Toda-Yamamoto Granger 因果检验× | Dolado-Lütkepohl Granger因果检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Hypothesis test | Hypothesis test |
| 起源年份≠ | 1995 | 1996 |
| 提出者≠ | Hiro Toda & Taku Yamamoto | Juan Dolado & Helmut Lütkepohl |
| 类型≠ | Modified Wald test on augmented VAR | Modified Wald test for Granger causality in possibly integrated or cointegrated VAR systems |
| 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 ↗ | Dolado, J. J., & Lütkepohl, H. (1996). Making Wald tests work for cointegrated VAR systems. Econometric Reviews, 15(4), 369–386. DOI ↗ |
| 别名 | TY Causality Test, Modified Wald Granger Causality, MWALD Test, Toda-Yamamoto Nedensellik Testi | DL Causality Test, Modified Wald Causality Test, Augmented VAR Causality Test, Dolado-Lütkepohl Testi |
| 相关≠ | 3 | 2 |
| 摘要≠ | 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. | 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. |
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