Granger causality between vectors of time series: a puzzling property

DOI10.1016/j.spl.2018.06.009zbMath1414.62382OpenAlexW2831767581WikidataQ129575375 ScholiaQ129575375MaRDI QIDQ1726702

Umberto Triacca

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.06.009

zbMATH Keywords

time seriesHilbert spacesGranger causalityinformation set

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical aspects of information-theoretic topics (62B10)

Cites Work

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• Granger causality and path diagrams for multivariate time series
• Non-causality: The role of the omitted variables
• Causality and separability
• Geometric and long run aspects of Granger causality
• Elimination of Third-series Effect and Defining Partial Measures of Causality
• Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
• Short Run and Long Run Causality in Time Series: Theory
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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