Geometric and long run aspects of Granger causality

DOI10.1016/j.jeconom.2013.08.019zbMath1293.62174OpenAlexW1982038707MaRDI QIDQ2512622

Majid M. Al-Sadoon

Publication date: 7 August 2014

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

Full work available at URL: http://dro.dur.ac.uk/25915/1/25915.pdf

zbMATH Keywords

controllabilitycointegrationGranger causality\(\rho\)-mixingVARMAKalman decompositionlinear rational expectations\(L^2\)-mean-reversionlong run Granger causality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

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Uses Software

• Gensys

Cites Work

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