Title
Finite sample effects of additive outliers on the Granger-causality test with an application to money growth and inflation in Peru
Date Issued
20 October 2005
Access level
metadata only access
Resource Type
journal article
Author(s)
Baldé T.A.
University of Ottawa
Abstract
We established, via finite sample simulations, that additive outliers have important effects on the exact size of the statistic for testing for Granger causality. An empirical application illustrates the effects of neglecting for additive outliers. © 2005 Taylor & Francis.
Start page
841
End page
844
Volume
12
Issue
13
Language
English
OCDE Knowledge area
Economía
Scopus EID
2-s2.0-29244464661
Source
Applied Economics Letters
ISSN of the container
13504851
Sponsor(s)
This paper is a short version drawn from the M. A. Thesis of Thierno A. Baldé at the Department of Economics of the University of Ottawa. We thank two referees, one of the Editors, and K. Day for useful comments and Josée Villemaire for edition of the paper. The views expressed in this paper are those of the authors and do not necessarily reflect those of Statistics Canada. Rodríguez acknowledges financial support from the Faculty of Social Sciences of the University of Ottawa.
Sources of information:
Directorio de Producción Científica
Scopus