Sampling distribution for single-regression Granger causality estimators
单回归Granger因果估计量的抽样分布
Summary The single-regression Granger–Geweke causality estimator has previously been shown to solve known problems associated with the more conventional likelihood ratio estimator; however, its sampling distribution has remained unknown. We show that, under the null hypothesis of vanishing Granger causality, the single-regression estimator converges to a generalized χ2 distribution, which is well approximated by a Γ distribution. We show that this holds too for Geweke’s…