Jr. Bult et al., THE RELATIVE PERFORMANCE OF BIVARIATE CAUSALITY TESTS IN SMALL SAMPLES, European journal of operational research, 97(3), 1997, pp. 450-464
Citations number
36
Categorie Soggetti
Management,"Operatione Research & Management Science","Operatione Research & Management Science
Causality tests have been applied to establish directional effects and
to reduce the set of potential predictors, For the latter type of app
lication only bivariate tests can be used, In this study we compare bi
variate causality tests. Although the problem addressed is general and
could benefit researchers from different fields, most attention is gi
ven to marketing applications, Even though there are many alternative
tests, applications in marketing have almost exclusively been based on
the I-laugh-Pierce test, We compare five bivariate tests in a specifi
c marketing application, The empirical results indicate that conclusio
ns about causality may depend strongly on the test used, To provide ge
neralizable insights about the relative performances of alternative te
sts we conduct a simulation study with data characteristics that cover
the range of conditions encountered by researchers who have applied c
ausality tests in marketing. We find that the Granger-Wald test has th
e highest power but also the greatest upward bias in alpha (the probab
ility of a type I error). If causality testing is done for the purpose
of selecting a good subset of the available predictors, this combinat
ion of high power and high alpha may be attractive. For researchers de
siring a simple test with a substantial amount of power and little upw
ard bias in alpha we recommend the Granger-Sargent teal. Interestingly
, neither of these Granger tests has been used in marketing, (C) 1997
a Elsevier Science B.V.