Granger-causality in multiple time series

DOI10.1016/0304-4076(81)90024-5zbMath0481.62074MaRDI QIDQ1162337

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

autoregressive models; constrained estimation; tests of causality

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES, Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series, Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality', Simplified conditions for noncausality between vectors in multivariate ARMA models

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