Investigating Causal Relations by Econometric Models and Cross-spectral Methods

DOI10.2307/1912791zbMATH Open1366.91115OpenAlexW2178225550WikidataQ55934618 ScholiaQ55934618MaRDI QIDQ5283191FDOQ5283191

Authors: Clive W. J. Granger 

Publication date: 20 July 2017

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912791

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Inference from stochastic processes and spectral analysis (62M15)

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• VARMAX-modelling of blast furnace process variables
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• On unstable and unoptimal prediction
• Multivariate contemporaneous ARMA model with hydrological applications
• On exchangeable, causal and cascading failures
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• Cart before the horse? The saving--growth nexus in Mexico
• The relative performance of bivariate causality tests in small samples
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• Testing cointegrating coefficients in vector autoregressive error correction models
• The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
• A Lagrange multiplier test for causality in variance
• Bayesian modeling and forecasting of vector autoregressive moving average processes
• Bayesian learning of graphical vector autoregressions with unequal lag-lengths
• Testing for correlation between two time series using a parametric bootstrap
• Dynamic time series smoothing for symbolic interval data applied to neuroscience
• A survey of exogeneity in vector error correction models
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• On the relationship between aggregate merger activity and the stock market: some further empirical evidence
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• Subsampling vector autoregressive tests of linear constraints
• A bootstrap causality test for covariance stationary processes
• A non-parametric approach to non-linear causality testing
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• The decomposition and measurement of the interdependency between second- order stationary processes
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• Multivariate conditional Granger causality analysis for lagged response of soil respiration in a temperate forest
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• Graphical modelling of multivariate time series
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• Time-series estimation of the effects of natural experiments
• Testing for Granger-causality in quantiles
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• Linear transformations of vector ARMA processes
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• Granger causality and contiguity between stochastic processes
• Model specification testing of time series regressions
• The relation between Granger causality and directed information theory: a review
• A consistent test for nonlinear out of sample predictive accuracy.
• Causality in temporal systems. Characterizations and a Survey
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• A maximum (non-extensive) entropy approach to equity options bid-ask spread
• ARMAX model specification testing, with an application to unemployment in the Netherlands
• Robust causality test of infinite variance processes

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