Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'

DOI10.1016/0304-4076(84)90056-3zbMath0583.62097OpenAlexW2036146461MaRDI QIDQ1069258

J. H. W. Penm, R. D. Terrell

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0304-4076(84)90056-3

zbMATH Keywords

algorithmmodel selectiontime seriestransformationsinstantaneous causalitymultivariate autoregressive modelsGranger-causalityzero constraintsCanadian money-income-bank rate systemcanonical reduced autoregressive formordinary least-squares estimationoverall causalityrecursive formresidual regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work

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