Construct · 1 fields · 1 citations

Toda-Yamamoto test: a standalone construct

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Econometrics

a Granger causality test that adds extra lags to a vector autoregression so the test stays valid whatever the series' integration or cointegration.

In econometrics, Toda-Yamamoto test refers to a Granger causality test that adds extra lags to a vector autoregression so the test stays valid whatever the series' integration or cointegration. This meaning comes from Toda (1995) in Journal of Econometrics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

Granger causality1 fields · 3 citationsanchor · a standalone construct cointegration1 fields · 3 citationsanchor · a standalone construct integration5 fields · 7 citationsjingle · one word, five constructs

References

Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. https://doi.org/10.1016/0304-4076(94)01616-8

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