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Lag length selection and p-hacking in Granger causality testing: prevalence and performance of meta-regression models

Bruns, Stephan B.; Stern, David

Description

The academic system incentivizes p-hacking, where researchers select estimates and statistics with statistically significant p-values for publication. We analyze the complete process of Granger causality testing including p-hacking using Monte Carlo simulations. If the degrees of freedom of the underlying vector autoregressive model are small to moderate, information criteria tend to overfit the lag length and overfitted vector autoregressive models tend to result in false-positive findings of...[Show more]

CollectionsANU Research Publications
Date published: 2018
Type: Journal article
URI: http://hdl.handle.net/1885/204050
Source: Empirical Economics
DOI: 10.1007/s00181-018-1446-3
Access Rights: Open Access

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