A Note on the Power of Money‐Output Causality Tests
指出，忽略自回归条件异方差（ARCH）效应会严重降低标准因果检验的统计功效。在考虑ARCH效应后，货币对产出的影响变得显著，尽管影响幅度很小。
This study suggests that some empirical findings against money‐output causality can be the consequence of ignoring autoregressive conditional heteroskedastic (ARCH) errors. Monte Carlo results confirm that ARCH effects drastically reduce the power of the standard causality test. The maximum likelihood approach allowing for ARCH effects, on the other hand, provides a good power performance. Using different specifications and sample period, Friedman and Kuttner (1993) and Thomas (1994) report limited evidence of money causing output. We detect significant ARCH effects in the models considered by these studies. Once ARCH effects are explicitly accounted for, we find that the monetary effect is significant though its magnitude is quite small.