Granger-causality in multiple time series

DOI10.1016/0304-4076(81)90024-5zbMath0481.62074OpenAlexW2015009958MaRDI 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 modelsconstrained estimationtests of causality

Mathematics Subject Classification ID

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

Related Items (8)

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Causality in temporal systems. Characterizations and a Survey
• Estimating the dimension of a model
• The effect of transformations of variables upon their correlation coefficients
• The Lagrangian Multiplier Test
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Feedback between stationary stochastic processes
• Vector linear time series models
• Effect of temporal aggregation on the dynamic relationship of two time series variables
• A canonical analysis of multiple time series
• A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Tables of percentage points of non-central x

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