On the Hsiao definition of non-causality (Q1978520)

\textit{C. W. J. Granger} [Investigating causal relations by econometric models and cross-spectral methods. Econometrica 37, 424-438 (1969)] defined causality between two variables \(X\) and \(Y\) in terms of predictability. A difficulty with this definition is that it is restricted to one-step ahead prediction. In the presence of a third environment variable \(Z\) the non-causality properties depend on the horizon of the involved prediction. \textit{C. Hsiao} [J. Econ. Dyn. Control 4, 243-259 (1982)] proposed a generalization of the Granger notion of causality. The main purpose of this paper is to show that the Hsiao non-causality properties do not depend on the horizon of involved prediction.