TYCausalityProblem—Simulation of Toda-Yamamoto causality tes

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TYCausalityProblem—Simulation of Toda-Yamamoto causality tes

Postby TomDoan » Thu Jun 28, 2018 1:35 pm

This program demonstrates a case where the flawed Toda-Yamamoto(1995) "causality test" fails to detect causality. It does simulations of a case where the power of the TY "augmented regression" procedure is effectively zero, and includes a bootstrapped version of an actual Granger causality test as a comparison.
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tycausalityproblem.rpf
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TomDoan
 
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