An Out of Sample Test for Granger Causality

By Norman R. Swanson. 2000

104 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/28ca5f4b61092ad75ca391aaf3dae5ceaa08779d

Citations in the corpus

• Comparing forecast accuracy: A Monte Carlo investigation (2013, unknown): “In the original formulation of Chao et al. (2001) the regressors Z 2t are not demeaned in the expression for c t , as the statistic has been derived from a zero-mean data generating process.”
• Detecting and Predicting Forecast Breakdowns (2009, methodology): “Regarding the relationship with structural break tests based on the approach of Chow’s (1960), Andrews (1993) and Andrews and Ploberger (1994), note that our fixed test could be related to a Chow’s type of test, whereas our recursive test could be related to an Andrews’ (1993) type of test.”
• Tests of Equal Forecast Accuracy and Encompassing for Nested Models (2001, methodology): “A related test, the out-of-sample causality statistic developed by Chao, Corradi, and Swanson (2000), is also asymptotically normal.”
• A Test for Superior Predictive Ability (2005, methodology): “West and McCracken (1998) developed regression-based tests, and other extensions were made by Harvey et al. (1998), Chao, Corradi, and Swanson (2001), Clark and McCracken (2001), West (2001), and Corradi and Swanson (2002), who considered tests for forecast encompassing, and by Corradi, Swanson,…”
• Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2011, unknown): “The following are special cases of regressionbased tests of predictive ability: (a) Forecast unbiasedness tests: L̂t+h = v̂t+h. (b) Mincer–Zarnowitz’s (1969) tests (or efficiency tests): L̂t+h = v̂t+hXt , where Xt is a vector of predictors known at time t (see also Chao, Corradi, and Swanson 2001).”
• Tests of Conditional Predictive Ability (2003, unknown): “Then, (a) under H0,τ in (6), Th n,m,τ d → χ(2)q as n → ∞ and (b) under HA,h,τ in (7), for any constant c ∈ R, P [Th n,m,τ > c]→ 1 as n→∞.”