O wartości informacyjnej testów przyczynowości w sensie Grangera

• Autorzy: Mariusz Maziarz

Warianty tytułu

On Informativeness of Granger-causality Tests

• Języki publikacji: PL

Abstrakty

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 m.in.: 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. (abstrakt oryginalny)

EN

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, third-variable 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 Granger-causality test has knowledge of the mechanism connecting the two time series. (original abstract)

Słowa kluczowe

PL

Przyczynowość w sensie Grangera; Przyczynowość; Analiza przyczynowości

EN

Granger casuality; Causality; Causality analysis

• Czasopismo: Optimum : studia ekonomiczne
• Rocznik: 2015
• Numer: nr 2 (74)
• Strony: 152--170

Twórcy

autor

Mariusz Maziarz

• Szkoła Główna Handlowa w Warszawie

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Identyfikatory

DOI

10.15290/ose.2015.02.74.10