ON THE CAUSALITY TEST IN TIME SERIES MODELS WITH HEAVY-TAILED DISTRIBUTION

Eunhee Kim, Sangyeol Lee
2002 Communications in statistics. Simulation and computation  
In this article, we consider the problem of testing the Granger causality in stationary time series models with non-normal heavy-tailed distributions. We consider a normal mixture model to cover the heavy-tailed distribution, and propose a test statistic based on the partially adaptive estimator proposed by Phillips (1). It is shown that the test statistic asymptotically follows a chi-squared distribution. Simulation results indicate that our test outperforms the conventional test based on the
more » ... test based on the least squares estimator when the observations follow a heavy-tailed distribution.
doi:10.1081/sac-120003341 fatcat:dlow2mmewrernfwca6by6jpziy