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A Bootstrap Causality Test for Covariance Stationary Processes

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  • Javier Hidalgo

Abstract

This paper examines a nonparametric test for Granger-causality for a vector covariance stationary linear process under, possibly, the presence of long-range dependence. We show that the test converges to a non-distribution free multivariate Gaussian process, say vec (B(µ)) indexed by µ ? [0,1]. Because, contrary to the scalar situation, it is not possible, except in very specific cases, to find a time transformation g(µ) such that vec (B(g(µ))) is a vector with independent Brownian motion components, it implies that inferences based on vec (B(µ)) will be difficult to implement. To circumvent this problem, we propose bootstrapping the test by two alternative, although similar, algorithms showing their validity and consistency.

Suggested Citation

  • Javier Hidalgo, 2003. "A Bootstrap Causality Test for Covariance Stationary Processes," STICERD - Econometrics Paper Series 462, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    • Handle: RePEc:cep:stiecm:462
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    References listed on IDEAS

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    1. Javier Hidalgo & Peter M Robinson, 1997. "Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)," STICERD - Econometrics Paper Series 318, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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    12. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590, October.
    13. Javier Hidalgo, 2000. "Nonparametric Test for Causality with Long-Range Dependence," Econometrica, Econometric Society, vol. 68(6), pages 1465-1490, November.
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