Partial unit root and surplus-lag Granger causality testing: A Monte Carlo simulation study

Previous literature has shown that the addition of an untested surplus-lag Granger causality test can provide highly robust to stationary, non stationary, long memory, and structural break processes in the forcing variables. This study extends this approach to the partial unit root framework by simulation. Results show good size and power. Therefore, the surplus-lag approach is also robust to partial unit root processes.     

On hysteretic vector autoregressive model with applications

This paper proposes a new hysteretic vector autoregressive (HVAR) model in which the regime switching may be delayed when the hysteresis variable lies in a hysteresis zone. We integrate an adapted multivariate Student-t distribution from amending the scale mixtures of normal distributions. This HVAR model allows for a higher degree of flexibility in the degrees of freedom for each time series. We use the proposed model to test for a causal relationship between any two target time series. Using posterior odds ratios, we overcome the limitations of the classical approach to multiple testing. Both simulated and real examples herein help illustrate the suggested methods. We apply the proposed HVAR model to investigate the causal relationship between the quarterly growth rates of gross domestic product of United Kingdom and United States. Moreover, we check the pairwise lagged dependence of daily PM2.5 levels in three districts of Taipei.     

原油价格变动对中国基础工业收益的影响——基于格兰杰因果关系检验的实证研究

以2006年1月4日-2014年7月31日的日数据为样本,采用向量自回归模型(VAR模型)、非线性检验、线性格兰杰因果关系检验、非线性格兰杰因果关系检验,选取电力及公用事业、钢铁、机械、基础化工、煤炭、原油石化六大基础工业,从行业角度研究原油价格对中国经济的影响关系。实证结果表明:原油价格变化率与钢铁、煤炭、石油石化行业存在显著的双向线性格兰杰因果关系,机械、基础化工到原油价格变化率存在显著的单向线性格兰杰因果关系,电力及公共事业与原油价格不存在线性格兰杰因果关系;原油价格变化率与6个基础工业存在显著地双向非线性因果关系。     

流动性过剩：一个基于结构性失衡的解释

文章从理论上分析了消费投资结构失衡、消费储蓄结构失衡、收入分配结构失衡以及国际收支失衡对流动性过剩的影响，再根据2001—2007年的季度数据，利用协整分析、格兰杰因果检验从实证方面论证了消费投资结构失衡、消费储蓄结构失衡、收入分配结构失衡以及国际收支失衡是流动性过剩的根源。在此基础上，提出了综合运用财政、货币和外汇政策，实施金融改革和产业结构调整，完善收入分配制度等解决流动性过剩的措施。     

格兰杰伪因果关系检验的小样本性质研究

基于MC模拟方法研究了格兰杰伪因果关系的小样本性质,结果表明伪因果关系的发生概率会随着数据过程持久性的增强而增大,但会随着样本容量的增加而减少,且由于检验式的设定使得经Newey-West修正的检验方法并没有明显优势。通过解释变量和被解释变量的持久性对伪因果关系的影响以及与OLS估计的伪回归比较分析,表明随机干扰项的自相关或异方差是产生伪因果关系的主要原因,这为解决伪回归和伪因果关系问题提供了统一研究框架。     

The Effects of Detrending in Granger Causality Tests

Nonstationary time series are frequently detrended in empirical investigations by regressing the series on time or a function of time. The effects of the detrending on the tests for causal relationships in the sense of Granger are investigated using quarterly U.S. data. The causal relationships between nominal or real GNP and M1, inferred from the Granger–Sims tests, are shown to depend very much on, among other factors, whether or not series are detrended. Detrending tends to remove or weaken causal relationships, and conversely, failure to detrend tends to introduce or enhance causal relationships. The study suggests that we need a more robust test or a better definition of causality.     

Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form

In this article, we propose a general method for testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. These tests are based on a Taylor expansion of the nonlinear model around a given point in the sample space. We study the performance of our tests by a Monte Carlo experiment and compare these to the most widely used linear test. Our tests appear to be well-sized and have reasonably good power properties.     

Tracing ‘driver’ versus ‘modulator’ information flow throughout large-scale,task-related neural circuitry

Primary objective: To determine the relative uses of neural action potential (‘spike’) data versus local field potentials (LFPs) for modeling information flow through complex brain networks. Hypothesis: The common use of LFP data, which are continuous and therefore more mathematically suited for spectral information-flow modeling techniques such as Granger causality analysis, can lead to spurious inferences about whether a given brain area ‘drives’ the spiking in a downstream area. Experiment: We recorded spikes and LFPs from the forelimb motor cortex (M1) and the magnocellular red nucleus (mRN), which receives axon collaterals from M1 projection cells onto its distal dendrites, but not onto its perisomatic regions, as rats performed a skilled reaching task. Results and implications: As predicted, Granger causality analysis on the LFPs—which are mainly composed of vector-summed dendritic currents—produced results that if conventionally interpreted would suggest that the M1 cells drove spike firing in the mRN, whereas analyses of spiking in the two recorded regions revealed no significant correlations. These results suggest that mathematical models of information flow should treat the sampled dendritic activity as more likely to reflect intrinsic dendritic and input-related processing in neural networks, whereas spikes are more likely to provide information about the output of neural network processing.     

湖南农村金融与经济增长关系的实证分析

采用格兰杰因果检验和协整方法对湖南农村金融发展与经济增长之间的关系进行实证检验,研究表明,1987-2008年间,存在农村真实货币余额增长率(M/P)、存款利率(R)、乡镇企业贷款(FL)三个因素的协整关系,其中农村真实货币余额增长率、乡镇企业贷款对农林牧渔业总产值的存在因果关系,其他序列与农林牧渔业总产值则不存在因果关系,同时利用回归分析对三因素进行定量分析。这说明湖南农村金融深化、农业借贷能在一定程度上促进农村经济的增长。     

产业结构与城市化互动关系的实证检验

产业结构调整和城市化是经济发展过程中的两个中心主题。文章以1978～2008年我国三次产业的产值比重、就业比重和城市化率的统计数据为样本,对产业结构与城市化之间的互动关系进行了实证研究,结果表明,我国城市化与第一、二产业的产值结构和第一、二、三产业的就业结构存在着长期均衡关系,而与第三产业的产值结构不存在长期均衡关系;城市化率与三次产业的就业比重存在着单向因果关系,城市化推进是第一、二产业就业比重变化的原因,第三产业就业比重的增加是城市化水平提高的原因。