A Linear Theory for Noncausality

DOI10.2307/1911729MaRDI QIDQ3736787zbMATH OpenOpenAlexFDO

Authors Michel Mouchart, Jean-Pierre Florens

Publication date 1985

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1911729

zbMATH Keywords

orthogonalityrational expectationsequivalenceGranger-causalitydifferent definitions of noncausalityfinite horizon noncausalityHilbert space of square integrable variablesSims-causality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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• Tests of Noncausality under Markov Assumptions for Qualitative Panel Data
• Granger causality and path diagrams for multivariate time series
• Specification and identification issues in models involving a latent hierarchical structure
• Some aspects of statistical causality
• Second-oder noncausality in multivariate GARCH processes
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• Non-causality in bivariate binary time series
• Non-causalité et discrétisation fonctionnelle, théorèmes limites pour un processus
• The relation of different concepts of causality used in time series and microeconometrics
• Bayesian learning of graphical vector autoregressions with unequal lag-lengths
• Identifiability of structural characteristics: how relevant is it for the Bayesian approach?
• A note on marginal and conditional independence
• On the sensitivity of Granger causality to errors-in-variables, linear transformations and subsampling
• On the relationship between impulse response analysis, innovation accounting and Granger causality
• scientific article; zbMATH DE number 1665331 (Why is no real title available?)
• On the formulation of empirical models in dynamic econometrics
• A Hilbert space proof of equivalence of the Granger and Sims notions of causality
• Kernel autocorrelogram for time-deformed processes
• Simplified conditions for noncausality between vectors in multivariate ARMA models
• Mixed orthogonality graphs for continuous-time stationary processes
• Testing instantaneous linear Granger causality in presence of nonlinear dynamics
• School system evaluation by value added analysis under endogeneity
• Detecting and testing causality in linear econometric models
• Structural time series modeling: A Bayesian approach
• Granger-causal analysis of GARCH models: a Bayesian approach
• On the Hsiao definition of non-causality

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