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There is a long literature on stock return predicabtility.

When I read papers I see lots of authors still using granger causality tests. It is still prominently taught in undergrad and grad classess.

But we do we continue to persist with this when many have shown that they are often not robust to even a little bit of ambiguity. Whether this is persistent variables or in the presense of heteroskedasticity.

Why do people continue to use it?

Why is it so important?

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    $\begingroup$ In fact, this is not an economic question, but a general sociology / philosophy question. I.e. It take time for a whole generation of establishing icon with bad idea/ideology to die with the bad idea/practice/theory they withheld. $\endgroup$
    – mootmoot
    Commented Feb 28, 2019 at 9:50
  • $\begingroup$ This kind of criticism applies to basically any test based on a statistical/econometric model, not only to Granger causality. Researchers will not stop using all tests and models just because they are not perfect and can be misused. $\endgroup$
    – Richard Hardy
    Commented Jan 23, 2020 at 19:24

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Because the papers which use these methods are not properly refereed. That's why you should read papers published in high impact factor journals.

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  • $\begingroup$ Some of these are published in 3 star journals in recent times and 4*'s a few decades ago. $\endgroup$
    – user22485
    Commented Mar 1, 2019 at 8:37
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    $\begingroup$ These methods were 'novel' few decades ago, and hence the current 4* journals published them at the time. Can you please post examples of papers publihsed in 3* journals? I can only surmise that these papers were published in 3* journals only because they had other contributions to the literature i.e. data or other empirical aspects. $\endgroup$
    – london
    Commented Mar 2, 2019 at 19:23

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