格兰杰伪因果关系检验的小样本性质研究

Small Sample Properties of the Granger Spurious Causality Test

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。

This paper studies the small sample properties of Granger spurious causality test based on Monte-Carlo simulation methods,the results show that the probability of finding Granger causal relation increases with the persistence of data process,but the probability decreases with sample size.The Granger causality test modified by the Newey-West methods has no significant advantage over the traditional Granger test owing to the specification of Granger test equation.The paper studies that the persistence of explanatory and explained variables has effects on the Granger spurious causality,and it shows that the autocorrelation or heteroskedasticity of random error term is the most important factor resulting in spurious causality through comparing with spurious regression based on OLS method,which provides a unified research framework on spurious causality and spurious regression.