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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• Causality tests and conditional heteroskedasticity: Monte Carlo evidence
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• Brexit and foreign exchange market expectations: could it have been predicted?
• Convergence and interdependence between ASEAN-5 stock markets
• Incremental causal network construction over event streams
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• The windowed scalogram difference: a novel wavelet tool for comparing time series
• Multivariate causality tests with simulation and application
• Finding a causal ordering via independent component analysis
• Comparing alternative tests of causality in temporal systems. Analytic results and experimental evidence
• Uncovering causality from multivariate Hawkes integrated cumulants
• Testing for Granger causality in large mixed-frequency VARs
• Robust residual cross correlation tests for lagged relations in time series
• An experiment on learning with limited information: nonconvergence, experimentation cascades, and the advantage of being slow.
• Coupled network approach to predictability of financial market returns and news sentiments
• Significance testing in quantile regression
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• An approach to causal modeling in fuzzy environment and its application
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• A decision support system for the budgeting of the Belgian health care system
• A time series analysis of economical phenomena in Japan's lost decade (1): determinacy property of the velocity of money and equilibrium solution
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• Detection of information flow in major international financial markets by interactivity network analysis
• Time series modeling of paleoclimate data
• On the interactions of unit roots and exogeneity
• Wavelet based time-varying vector autoregressive modelling
• The theory of KM₂O-Langevin equations and applications to data analysis (II): Causal analysis (1)
• Short- and long-run rolling causality techniques and optimal window-wise lag selection: an application to the export-led growth hypothesis
• An empirical investigation among real, monetary and financial variables
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• Multiscale Bayesian state-space model for Granger causality analysis of brain signal
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• Subsampling vector autoregressive tests of linear constraints
• A bootstrap causality test for covariance stationary processes
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• Simulation study of direct causality measures in multivariate time series
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• 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
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• Granger-causality in Markov switching models
• Non-causality in bivariate binary time series
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• Time-series estimation of the effects of natural experiments
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• Reliability of inference of directed climate networks using conditional mutual information

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