Causality and separability

DOI10.1016/J.SPL.2014.12.018MaRDI QIDQ2344859zbMATH OpenOpenAlexFDO

Authors Eric Renault, Umberto Triacca

Publication date 18 May 2015

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

Full work available at URL https://doi.org/10.1016/j.spl.2014.12.018

zbMATH Keywords

causalityseparabilitytime series

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Granger causality
• Statistical causality and separable processes
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• scientific article; zbMATH DE number 3856268
• Detecting and testing causality in linear econometric models

Cites work

• Granger causality and path diagrams for multivariate time series
• scientific article; zbMATH DE number 3158371 (Why is no real title available?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• On two definitions of identification
• Short Run and Long Run Causality in Time Series: Theory

Cited in

(7)

• Composite structure and causality
• Granger causality between vectors of time series: a puzzling property
• Statistical causality and separable processes
• The structure of first-order causality
• Induced causality
• Causality gets entangled
• Causal Atomicity

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