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An Out of Sample Test for Granger Causality

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(22)

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(23)

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(25)

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(27)

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-0.04 -0.02 0.00 0.02 0.04 0.06 0.08 82 84 86 88 90 92 94 96 ForeErr w/ M2 ForeErr w/o M2 F p-val .

-0.03 -0.02 -0.01 0.00 0.01 0.02 0.03 82 84 86 88 90 92 94 96

IP Growth VAR Forecast w/o M2 . 0.00 0.02 0.04 0.06 0.08 -0.008 -0.006 -0.004 -0.002 0.000 0.002 0.004 82 84 86 88 90 92 94 96 F p-val ferr w/M2 - ferr w/oM2 .

Figure 1: Real Time Industrial Production Forecast Results

(p-values are for in-sample Granger noncausality tests)

Notes: p-values were calculated recursively starting with the sample 1961:1-1980:1 and ending with data for the period 1960:1-1997:8. All results are based on models and forecasts of the monthly growth rate in U.S. industrial production.

References

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