The effect of spillover on the Granger causality test
In this paper, we investigate the properties of the Granger causality test in stationary and stable vector autoregressive models under the presence of spillover effects, that is, causality in variance. The Wald test and the WW test (the Wald test with White's proposed heteroskedasticity-consistent covariance matrix estimator imposed) are analyzed. The investigation is undertaken by using Monte Car