HOW TO SELECT A REASONABLE LAG ORDER FOR TESTING LINEAR GRANGER CAUSALITY?

Wang Sheng (P. R. China)

Received August 4, 2006

References:

[1] C. Granger, Investigating causal relation by econometric models and cross-spectral methods, Econometrica 37 (1969), 421-438. [2] D. N. Gujarati, Basic Econometrics, 3rd ed., Translated by Lin Shaogong, China Renmin University Press, Beijing, 2004 (in Chinese). [3] C. Hsiao, Autoregressive modeling and money-income causal detection, Journal of Monetary Economics 7 (1981), 85-106. [4] Sheng Wang, Introduction to Econometrics, Tsinghua University Press, Beijing, 2006 (in Chinese).

Keywords and phrases: Granger causality, attenuation rate of Granger cause, structural stability of Granger causality, order of the structural stability of Granger causality.