Next Article in Journal
Detecting Location Shifts during Model Selection by Step-Indicator Saturation
Previous Article in Journal
Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States
Article Menu

Export Article

Open AccessArticle
Econometrics 2015, 3(2), 233-239; doi:10.3390/econometrics3020233

A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models

Department of Computer Engineering, Computer Science and Mathematics, University of L'Aquila, Via Vetoio I-67010 Coppito, L'Aquila, Italy
Academic Editor: Kerry Patterson
Received: 3 February 2015 / Revised: 27 March 2015 / Accepted: 1 April 2015 / Published: 9 April 2015
View Full-Text   |   Download PDF [151 KB, uploaded 9 April 2015]


It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that if this assumption is violated, then the characterization of Granger non-causality in a VAR model fails to hold. In these situations Granger non-causality test results must be interpreted with caution. View Full-Text
Keywords: covariance matrix; Granger causality; time series covariance matrix; Granger causality; time series
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Share & Cite This Article

MDPI and ACS Style

Triacca, U. A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models. Econometrics 2015, 3, 233-239.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics



[Return to top]
Econometrics EISSN 2225-1146 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top