Granger-causality in multiple time series

DOI10.1016/0304-4076(81)90024-5MaRDI QIDQ1162337zbMATH OpenOpenAlexFDO

Authors Dag Tjøstheim

Publication date 1981

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(81)90024-5

zbMATH Keywords

constrained estimationautoregressive modelstests of causality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 3179103 (Why is no real title available?)
• scientific article; zbMATH DE number 3671536 (Why is no real title available?)
• scientific article; zbMATH DE number 3694445 (Why is no real title available?)
• scientific article; zbMATH DE number 3537122 (Why is no real title available?)
• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• scientific article; zbMATH DE number 3208729 (Why is no real title available?)
• scientific article; zbMATH DE number 3254517 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• scientific article; zbMATH DE number 3395163 (Why is no real title available?)
• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
• A canonical analysis of multiple time series
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Causality in temporal systems. Characterizations and a Survey
• Effect of temporal aggregation on the dynamic relationship of two time series variables
• Estimating the dimension of a model
• Feedback between stationary stochastic processes
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Tables of percentage points of non-central x
• The Lagrangian Multiplier Test
• The effect of transformations of variables upon their correlation coefficients
• Vector linear time series models

Cited in

(8)

• Geometric and long run aspects of Granger causality
• Multivariate linear and nonlinear causality tests
• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES
• ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
• Measuring frequency domain Granger causality for multiple blocks of interacting time series
• Simplified conditions for noncausality between vectors in multivariate ARMA models
• Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series

This page was built for publication: Granger-causality in multiple time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1162337)