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)

Cited In (only showing first 100 items - show all)

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• A new statistic and practical guidelines for nonparametric Granger causality testing
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• On entropy, entropy-like quantities, and applications
• Subsampling vector autoregressive tests of linear constraints
• A bootstrap causality test for covariance stationary processes
• A non-parametric approach to non-linear causality testing
• Phenotypic evolution studied by layered stochastic differential equations
• The stochastic system approach for estimating dynamic treatments effect
• Causality analysis of futures sugar prices in Zhengzhou based on graphical models for multivariate time series
• Searching multiregression dynamic models of resting-state fMRI networks using integer programming
• Granger causality and path diagrams for multivariate time series
• Vine copula specifications for stationary multivariate Markov chains
• Invariant causal prediction for sequential data
• Time series experiments and causal estimands: exact randomization tests and trading
• The decomposition and measurement of the interdependency between second- order stationary processes
• Sparse plus low rank network identification: a nonparametric approach
• Multivariate conditional Granger causality analysis for lagged response of soil respiration in a temperate forest
• Simulation study of direct causality measures in multivariate time series
• Statistical mechanics and information-theoretic perspectives on complexity in the Earth system
• Granger causality and the sampling of economic processes
• Granger causality in risk and detection of extreme risk spillover between financial markets
• Graphical modelling of multivariate time series
• A general definition of influence between stochastic processes
• On Granger causality and the effect of interventions in time series
• Panel Data Analysis
• Fitting ARMA time series by structural equation models
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• Granger-causality in Markov switching models
• Non-causality in bivariate binary time series
• Nonresponse in dynamic panel data models
• Short run and long run causality in time series: inference
• Testing for short- and long-run causality: a frequency-domain approach
• Time-series estimation of the effects of natural experiments
• Testing for Granger-causality in quantiles
• Reliability of inference of directed climate networks using conditional mutual information
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• Autoregressive models for gene regulatory network inference: sparsity, stability and causality issues
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• Model specification testing of time series regressions
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• A consistent test for nonlinear out of sample predictive accuracy.
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• Nonparametric tests for conditional independence using conditional distributions
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• A maximum (non-extensive) entropy approach to equity options bid-ask spread
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• Robust causality test of infinite variance processes
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
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• Estimating the directed information to infer causal relationships in ensemble neural spike train recordings
• Transfer entropy -- a model-free measure of effective connectivity for the neurosciences
• Inference on one-way effect and evidence in Japanese macroeconomic data
• A fast method for detecting interdependence between time series and its directionality
• Testable implications of affine term structure models
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• On the formulation of empirical models in dynamic econometrics
• Graphical Models for Marked Point Processes Based on Local Independence
• Granger causality
• Granger causality and structural causality in cross-section and panel data
• Multivariate time series analysis
• Linear and nonlinear causality between signals: methods, examples and neurophysiological applications
• Analyzing multiple nonlinear time series with extended Granger causality
• A general dynamical statistical model with causal interpretation
• Short and long run causality measures: theory and inference
• An alternative approach to monetary aggregation in DEA
• Inferring indirect coupling by means of recurrences
• Measures of Conditional Linear Dependence and Feedback Between Time Series
• Quantifying causal influences
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Modeling and forecasting electricity spot prices: a functional data perspective
• Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods
• Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise
• Detecting and testing causality in linear econometric models
• Identification of directed influence: Granger causality, Kullback-Leibler divergence, and complexity
• Structural time series modeling: A Bayesian approach
• An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
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• 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

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