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Granger causality and stopping times*
Lithuanian Mathematical Journal, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Petrović, Ljiljana +2 more
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2008
Granger-Sims causality is based on the fundamental axiom that ‘the past and present may cause the future, but the future cannot cause the past’ (Granger, 1980, p. 330). A variable x then is said to cause a variable y if at time t the variable x t helps to predict the variable yt+1 .
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Granger-Sims causality is based on the fundamental axiom that ‘the past and present may cause the future, but the future cannot cause the past’ (Granger, 1980, p. 330). A variable x then is said to cause a variable y if at time t the variable x t helps to predict the variable yt+1 .
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Current Issues in Tourism, 2018
In this paper, we examine the direction of causality between tourism, economic growth and carbon emissions in a multivariate framework that incorporates the newly introduced globalization index as an additional variable.
S. Akadiri +3 more
semanticscholar +1 more source
In this paper, we examine the direction of causality between tourism, economic growth and carbon emissions in a multivariate framework that incorporates the newly introduced globalization index as an additional variable.
S. Akadiri +3 more
semanticscholar +1 more source
Inferring species interactions using Granger causality and convergent cross mapping
Theoretical Ecology, 2019Identifying directed interactions between species from time series of their population densities has many uses in ecology. This key statistical task is equivalent to causal time series inference, which connects to the Granger causality (GC) concept: x ...
F. Barraquand +3 more
semanticscholar +1 more source
Testing for Granger's Full Causality
The Review of Economics and Statistics, 1992A procedure is proposed to test for the existence of a fully causal relationship between two variables. The method involves contrasting the probabilistic forecasting performance of a univariate and bivariate specification for the same variable Y. If there exists some theory or belief that X causes Y, and the addition of a variable X to the information ...
Covey, Ted, Bessler, David A
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Contemporaneous and Granger causality among US corn cash and futures prices
European Review of Agricultural Economics, 2018This paper examines contemporaneous and Granger causality among US corn futures and seven cash prices from major producing states for January 2006–March 2011.
Xiaojie Xu
semanticscholar +1 more source
1997
Abstract Granger causality is a relationship between the components of D(L)zl or D(L)zf. Therefore, as in Chapter 8, there is no loss of generality in assuming D(L) = I. Let us further simplify the matter by considering a two-variable model.
Mario Forni, Marco Lippi
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Abstract Granger causality is a relationship between the components of D(L)zl or D(L)zf. Therefore, as in Chapter 8, there is no loss of generality in assuming D(L) = I. Let us further simplify the matter by considering a two-variable model.
Mario Forni, Marco Lippi
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Granger-causality maps of diffusion processes
Physical Review E, 2016Granger causality is a statistical concept devised to reconstruct and quantify predictive information flow between stochastic processes. Although the general concept can be formulated model-free it is often considered in the framework of linear stochastic processes.
Wahl, B. +5 more
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Systematic Procedure for Granger-Causality-Based Root Cause Diagnosis of Chemical Process Faults
Industrial & Engineering Chemistry Research, 2018Multivariate statistical process monitoring (MSPM) has received a considerable amount of attention in terms of both academic research and industrial applications.
Hanzhi Chen +4 more
semanticscholar +1 more source
Economics Letters, 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
He, Zonglu, Maekawa, Koichi
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
He, Zonglu, Maekawa, Koichi
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