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

different definitions of noncausalityequivalencefinite horizon noncausalityGranger-causalityHilbert space of square integrable variablesorthogonalityrational expectationsSims-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
• Non-causalité et discrétisation fonctionnelle, théorèmes limites pour un processus
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• Noncausality in Continuous Time
• Granger-causal analysis of GARCH models: a Bayesian approach
• A Hilbert space proof of equivalence of the Granger and Sims notions of causality
• A note on marginal and conditional independence
• Testing instantaneous linear Granger causality in presence of nonlinear dynamics
• Mixed orthogonality graphs for continuous-time stationary processes
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• Income inequality under partial observability: what can we learn from incomplete survey data?

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