Granger-causality in multiple time series
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Publication:1162337
DOI10.1016/0304-4076(81)90024-5zbMath0481.62074OpenAlexW2015009958MaRDI QIDQ1162337
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
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'
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