On Wiener-Granger causality, information and canonical correlation

DOI10.1016/0165-1765(91)90168-KMaRDI QIDQ809531zbMATH OpenWikidataFDO

Authors Pieter W. Otter

Publication date 1991

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

multicollinearityARMA modelslinear feedbackcanonical correlation coefficientsGeweke's measuremixed autoregressive moving average modelsstationary multivariate time seriestesting Wiener-Granger causalityzero-mean, stationary Gaussian vector processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• Calculation of the amount of information about a random function contained in another such function
• Causality in temporal systems. Characterizations and a Survey
• Comparing alternative tests of causality in temporal systems. Analytic results and experimental evidence
• Economic processes involving feedback
• Feedback between stationary stochastic processes
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Measurement of Linear Dependence and Feedback Between Multiple Time Series

Cited in

(5)

• Geometric and long run aspects of Granger causality
• Causality measure of nonstationary processes by wavelets
• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• scientific article; zbMATH DE number 3874450 (Why is no real title available?)
• Short and long run causality measures: theory and inference

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