On the Hsiao definition of non-causality

DOI10.1016/S0165-1765(99)00217-7MaRDI QIDQ1978520zbMATH OpenOpenAlexWikidataFDO

Authors Umberto Triacca

Publication date 4 June 2000

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(99)00217-7

zbMATH Keywords

environment variableGranger causalityHsiao non-causalitypredictiontime series

Mathematics Subject Classification ID

Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Review text

\textit{C. W. J. Granger} [Investigating causal relations by econometric models and cross-spectral methods. Econometrica 37, 424-438 (1969)] defined causality between two variables \(X\) and \(Y\) in terms of predictability. A difficulty with this definition is that it is restricted to one-step ahead prediction. In the presence of a third environment variable \(Z\) the non-causality properties depend on the horizon of the involved prediction. \textit{C. Hsiao} [J. Econ. Dyn. Control 4, 243-259 (1982)] proposed a generalization of the Granger notion of causality. The main purpose of this paper is to show that the Hsiao non-causality properties do not depend on the horizon of involved prediction.

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Cites work

• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Cited in

(4)

• On the sensitivity of Granger causality to errors-in-variables, linear transformations and subsampling
• A Linear Theory for Noncausality
• scientific article; zbMATH DE number 4072212 (Why is no real title available?)
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