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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• AUTOMATIC INFERENCE OF THE CONTEMPORANEOUS CAUSAL ORDER OF A SYSTEM OF EQUATIONS
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• Variance (Non) Causality in Multivariate GARCH
• The analysis of seasonal economic models
• Feedback, causality and distance between ARMA models.
• Causal inference for structural equations: with an application to wage-price spiral
• Is there a causal relationship between oil prices and tourist arrivals?
• 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
• Sharp filters for short sequences
• Cart before the horse? The saving--growth nexus in Mexico
• The relative performance of bivariate causality tests in small samples
• A model-free characterization of causality
• 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
• On predictive causality in longitudinal studies
• Mathematical modeling for evolution of heterogeneous modules in the brain
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• The in-principle inconclusiveness of causal evidence in macroeconomics
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• Dynamic linkages between stock prices, accrual earnings and cash flows: A cointegration analysis
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• Semiparametric estimation of latent variable asset pricing models
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• Inconsistency of bootstrap for nonstationary, vector autoregressive processes
• Empirical likelihood test for causality of bivariate AR(1) processes
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• Identification of stock market forces in the system adaptation framework
• The role of Japanese candlestick in DVAR model
• Causality and separability
• UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS
• Some unresolved issues in the application of control theory to economic policy-making
• Tracing `driver' versus `modulator' information flow throughout large-scale, task-related neural circuitry
• Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
• Evidence for nonlinear asymmetric causality in US inflation, metal, and stock returns
• Causation entropy identifies indirect influences, dominance of neighbors and anticipatory couplings
• On the relationship between aggregate merger activity and the stock market: some further empirical evidence
• Temporal causal inference with time lag
• THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL
• Local Whittle estimation of high-dimensional long-run variance and precision matrices
• Effective network inference through multivariate information transfer estimation
• Dynamic contagion of systemic risks on global main equity markets based on Granger causality networks
• Healthy, wealthy, and wise? Tests for direct causal paths between health and socioeconomic status. (With commentaries and responses)
• Estimating the interaction graph of stochastic neuronal dynamics by observing only pairs of neurons
• Measuring network systemic risk contributions: a leave-one-out approach
• Cardiovascular and cardiorespiratory coupling analyses: a review
• Stochastic reaction networks with input processes: analysis and application to gene expression inference
• Data-based prediction and causality inference of nonlinear dynamics
• Quantitative estimation of the presence of cause-and-effect relations in a sequence of observation results
• A statistical framework to infer delay and direction of information flow from measurements of complex systems
• Statistical causality and adapted distribution
• How long the singular value decomposed entropy predicts the stock market? -- Evidence from the Dow Jones industrial average index
• Transfer mutual information: A new method for measuring information transfer to the interactions of time series
• The mutual causality analysis between the stock and futures markets
• A class of universal approximators of real continuous functions revisited
• Geometric and long run aspects of Granger causality
• Modelling the causal relationship between energy consumption and GDP in new Zealand, Australia, India, Indonesia, the Philippines and Thailand.
• Multivariate time series prediction using a hybridization of VARMA models and Bayesian networks
• News and narratives in financial systems: exploiting big data for systemic risk assessment
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• Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond
• Revealing the dynamic causal interdependence between neural and muscular signals in Parkinsonian tremor
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• Studying the effective brain connectivity using multiregression dynamic models
• Measuring the asymmetric contributions of individual subsystems
• State-space analysis of Granger-Geweke causality measures with application to fMRI
• Improved GMM estimation of panel VAR models
• Typologies of linear dynamic systems and models
• Reconstruction of network structures from marked point processes using multi-dimensional scaling
• Super-exponential growth expectations and the global financial crisis
• The macroeconomic and fiscal implications of inflation forecast errors
• Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach
• On optimal input design for networked systems
• A nonparametric approach to test for predictability
• A constraint optimization approach to causal discovery from subsampled time series data
• Institutions and economic outcomes: a dominance-based analysis
• Extreme risk spillover network: application to financial institutions
• Reciprocal characterization from multivariate time series to multilayer complex networks
• Encompassing in stationary linear dynamic models
• Simplified conditions for noncausality between vectors in multivariate ARMA models
• Simulating competing cointegration tests in a bivariate system
• State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)
• Synchronization transitions caused by time-varying coupling functions
• Tracking nonlinear correlation for complex dynamic systems using a windowed error reduction ratio method
• Monitoring effective connectivity in the preterm brain: a graph approach to study maturation
• Causal discourse in a game of incomplete information

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