An Out of Sample Test for Granger Causality

@inproceedings{Chao2000AnOO,
  title={An Out of Sample Test for Granger Causality},
  author={John Ching-Hao Chao and Valentina Corradi and Norman R. Swanson},
  year={2000}
}
Granger (1980) summarizes his personal viewpoint on testing for causality, and outlines what he considers to be a useful operational version of his original de ̄nition of causality (Granger (1969)), which he notes was partially alluded to in Wiener (1958). This operational version is based on a comparison of the 1-step ahead predictive ability of competing models. However, Granger concludes his discussion by noting that it is common practice to test for Granger causality using in-sample F-tests… CONTINUE READING