Diks, Cees; Panchenko, Valentyn - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 2
We address a consistency problem in the commonly used nonparametric test for Granger causality developed by Hiemstra and Jones (1994). We show that the relationship tested is not implied by the null hypothesis of Granger non-causality. Monte Carlo simulations using processes satisfying the null...