NECESSARY AND SUFFICIENT CONDITIONS FOR CAUSALITY TESTING IN MULTIVARIATE ARMA MODELS

DOI10.1111/j.1467-9892.1981.tb00315.xzbMath0486.62096OpenAlexW1995282931MaRDI QIDQ3947021

Heejoon Kang

Publication date: 1981

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1981.tb00315.x

zbMATH Keywords

Granger causalitymultivariate ARMA modelsstationary multivariate time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (5)

Testing causality using efficiently parametrized vector ARMA models ⋮ Simplified conditions for noncausality between vectors in multivariate ARMA models ⋮ The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1 ⋮ Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution ⋮ An approach to causal modeling in fuzzy environment and its application

Cites Work

• Unnamed Item
• Causality in temporal systems. Characterizations and a Survey
• Time series analysis and simultaneous equation econometric models
• Multiple Time Series Analysis and the Final Form of Econometric Models
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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