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Testing for non-causality by using the Autoregressive Metric

Di Iorio, Francesca and Triacca, Umberto (2011): Testing for non-causality by using the Autoregressive Metric.

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Abstract

A new non-causality test based on the notion of distance between ARMA models is proposed in this paper. The advantage of this test is that it can be used in possible integrated and cointegrated systems, without pre-testing for unit roots and cointegration. The Monte Carlo experiments indicate that the proposed method performs reasonably well in nite samples. The empirical relevance of the test is illustrated via two applications.

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