I am running a VAR based Granger non-causality tests. I've obtained asymptotic and bootstrap $p$ values for Wald joint test of 0 restriction on a set of lagged variables. It appears that bootstrap based models fail to reject Granger non-causality more often than the models based on asymptotic theory.

My question is: How do I evaluate the size and power properties of these approaches/tests?

I know how to evaluate the size properties of the bootstrap based tests, but I'm not sure how to approach the asymptotic theory based tests.

  • $\begingroup$ How do you evaluate the size of the bootstrap test? Can't you use the same approach for the asymptotic test, and if not, then why? $\endgroup$ – MånsT Apr 14 '14 at 7:21

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