期刊名称：Discussion Paper Series / Economics Department, University of Swansea
出版年度：2005
卷号：1
出版社：University of Swansea
摘要：The properties of Granger-causality tests are examined when applied to integrated time series.
Recently presented results suggesting spurious causality in such circumstances are shown to be
highly dependent upon the absence of deterministic terms from the causality testing equations.
The analysis is completed by the examination of an alternative non-parametric causality test.
关键词：Granger-causality; Spurious rejection; Integrated time series.
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