On Wiener-Granger causality, information and canonical correlation
DOI10.1016/0165-1765(91)90168-KzbMATH Open0733.62101WikidataQ115052239 ScholiaQ115052239MaRDI QIDQ809531FDOQ809531
Authors: Pieter W. Otter 
Publication date: 1991
Published in: Economics Letters (Search for Journal in Brave)
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multicollinearityARMA modelslinear feedbackcanonical correlation coefficientsGeweke's measuremixed autoregressive moving average modelsstationary multivariate time seriestesting Wiener-Granger causalityzero-mean, stationary Gaussian vector processes
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)
Cites Work
- Title not available (Why is that?)
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Calculation of the amount of information about a random function contained in another such function
- Measurement of Linear Dependence and Feedback Between Multiple Time Series
- Causality in temporal systems. Characterizations and a Survey
- Economic processes involving feedback
- Comparing alternative tests of causality in temporal systems. Analytic results and experimental evidence
- Feedback between stationary stochastic processes
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'
- Title not available (Why is that?)
- Short and long run causality measures: theory and inference
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