Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application
Causality tests in the Granger's sense are increasingly applied in empirical research. Since the unit root revolution in time-series analysis, several modifications of tests for causality have been introduced in the literature. One of the recent developments is the Toda-Yamamoto modified Wald (MWALD) test, which is attractive due to its simple application, its absence of pre-testing distortions, a