Simplified conditions for noncausality between vectors in multivariate ARMA models

DOI10.1016/0304-4076(93)01568-7zbMath0806.62095OpenAlexW2158031960MaRDI QIDQ1341213

Jean-Marie Dufour, Hafida Boudjellaba, Roch Roy

Publication date: 16 February 1995

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)01568-7

zbMATH Keywords

Granger causalitycausality testmultivariate ARMA processnecessary and sufficient conditions for noncausalitystationary invertible ARMA processes

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)

Related Items (8)

Granger-causal analysis of GARCH models: A Bayesian approach ⋮ A comparison of some common methods for detecting Granger noncausality ⋮ Short and long run causality measures: theory and inference ⋮ Nonparametric tests for conditional independence using conditional distributions ⋮ Tests for noncorrelation of two multivariate ARMA time series ⋮ Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series ⋮ ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES ⋮ Variance (Non) Causality in Multivariate GARCH

Uses Software

• Mathematica

Cites Work

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• Testing causality using efficiently parametrized vector ARMA models
• Granger-causality in multiple time series
• Causality in temporal systems. Characterizations and a Survey
• A Linear Theory for Noncausality
• Modeling Multiple Times Series with Applications
• NECESSARY AND SUFFICIENT CONDITIONS FOR CAUSALITY TESTING IN MULTIVARIATE ARMA MODELS
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• ON THE INVERTIBILITY OF MULTIVARIATE LINEAR PROCESSES

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