2015 | 2(74) |
Article title

O wartości informacyjnej testów przyczynowości w sensie Grangera

Title variants
On informativeness of Granger-causality tests
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Celem artykułu jest wykazanie na podstawie przeglądu badań, że zastosowanie testów Granger-przyczynowości nie dostarcza wiarygodnych informacji o zależności pomiędzy badanymi szeregami czasowymi, jeżeli nie dysponuje się wiedzą teoretyczną na ich temat. Dotychczasowa krytyka testowania przyczynowości w sensie Grangera skupiała się przede wszystkim na wskazywaniu różnic pomiędzy tradycyjnie rozumianą przyczynowością a definicją zaproponowaną przez Grangera. Autor wykazuje, że analizowana definicja przyczynowości ma uzasadnienie filozoficzne, jednak stosowanie testów Granger-przyczynowości prowadzi do błędnych wniosków, co jest wynikiem nieliniowości szeregów czasowych, zbyt rzadkiego próbkowania szeregów czasowych, skointegrowania zmiennych, zdeterminowania szeregów czasowych przez trzecią zmienną, istnienia zależności nieliniowej oraz racjonalnych oczekiwań podmiotów ekonomicznych. Analiza opisanych w literaturze przypadków zawodności wyników testów przyczynowości w sensie Grangera pozwala stwierdzić, że wyciągnięcie wniosków o istnieniu i kierunku zależności przyczynowej na podstawie testu Granger-przyczynowości jest możliwe tylko wtedy, gdy posiada się wiedzę o mechanizmie łączącym dwa szeregi czasowe.
The purpose of this paper is to show that the application of Granger-causality tests is not informative unless one possesses additional theoretical knowledge. Previous criticism on Granger-causality testing pointed out mostly the differences between the common sense understanding of causality and Granger’s definition. The author demonstrates that Granger’s definition of causality is philosophically justified. However, the use of its tests is misleading due to: data non-linearity, too low sampling rate, time series cointegration, thirdvariable fallacy, non-linear causal dependency, and the rational expectations of economic agents. It can be said that the fallibility of Granger-causality testing described in the literature makes drawing conclusions about the existence and direction of causal relationship possible only if the researcher applying a Grangercausality test has knowledge of the mechanism connecting the two time series.

Physical description
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