Causality in temporal systems. Characterizations and a Survey

DOI10.1016/0304-4076(77)90039-2zbMATH Open0355.62077OpenAlexW1519062167MaRDI QIDQ1237341FDOQ1237341

Larry D. Haugh, David A. Pierce

Publication date: 1977

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

Full work available at URL: https://doi.org/10.1016/0304-4076(77)90039-2

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

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Cited In (39)

• NECESSARY AND SUFFICIENT CONDITIONS FOR CAUSALITY TESTING IN MULTIVARIATE ARMA MODELS
• MARGINALS OF MULTIVARIATE FIRST-ORDER AUTOREGRESSIVE TIME SERIES MODELS
• State-Space Analysis of Granger-Geweke Causality Measures with Application to fMRI
• Granger causality and the sampling of economic processes
• Granger causality in risk and detection of extreme risk spillover between financial markets
• Multivariate contemporaneous ARMA model with hydrological applications
• Comparing alternative tests of causality in temporal systems. Analytic results and experimental evidence
• The relative performance of bivariate causality tests in small samples
• Robust residual cross correlation tests for lagged relations in time series
• Modelling the causal relationship between energy consumption and GDP in new Zealand, Australia, India, Indonesia, the Philippines and Thailand.
• Short run and long run causality in time series: inference
• Causality effects in return volatility measures with random times
• Linear transformations of vector ARMA processes
• Nonparametric tests for conditional independence using conditional distributions
• Multivariate linear and nonlinear causality tests
• ON THE CAUSALITY TEST IN TIME SERIES MODELS WITH HEAVY-TAILED DISTRIBUTION
• A test for volatility spillover with application to exchange rates
• On the relationship between impulse response analysis, innovation accounting and Granger causality
• Temporal aggregation and spurious instantaneous causality in multiple time series models
• ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
• Implications of temporal aggregation on the relation between two time series
• Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
• Simplified conditions for noncausality between vectors in multivariate ARMA models
• Title not available (Why is that?)
• A causality-in-variance test and its application to financial market prices
• Short and long run causality measures: theory and inference
• On the Sensitivity of Granger Causality to Errors‐In‐Variables, Linear Transformations and Subsampling
• A class of optimal tests for contemporaneous non-causality in VAR models
• Tests for noncorrelation of two multivariate ARMA time series
• Title not available (Why is that?)
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Granger-causality in multiple time series
• An empirical investigation among real, monetary and financial variables
• On Wiener-Granger causality, information and canonical correlation
• Title not available (Why is that?)
• Extended causal modeling to assess partial directed coherence in multiple time series with significant instantaneous interactions
• Commercial and residential mortgage defaults: spatial dependence with frailty
• Identification of multivariate AR-models by threshold accepting
• Testing the exogeneity specification in the complete dynamic simultaneous equation model

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