In this paper, we investigate the properties of the Granger causality test in stationary and stable vector autoregressive models under the presence of spillover effects, that is, causality in variance. The Wald test and the WW test (the Wald test with White's proposed...

The size and power of various generalization tests for the Granger-causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods, properties of eight versions of the test are studied in two different forms, the standard form and the modified form by Dolado &...