No.7 The Granger Non-Causality Test in

In general, Wald tests for the Granger non-causality in vector autoregressive(VAR) process are known to have non-standard asymptotic properties for cointegrated systems. However, that may have standard asymptotic properties depending on the rank of the sub-matrix of cointegration. In this paper, we propose a procedure for conducting Granger non-causality tests that are based on discrimination of these asymptotic properties. This paper also investigate the finite sample performance of our testing procedure, and com-pare the testing procedure with conventional causality tests in levels VAR’s.