Results 311 to 320 of about 90,737 (348)
Some of the next articles are maybe not open access.
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 .
openaire +2 more sources
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 .
openaire +2 more sources
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
openaire +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
openaire +1 more source
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
openaire +1 more source
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
openaire +3 more sources
Economics Letters, 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
He, Zonglu, Maekawa, Koichi
openaire +1 more source
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
He, Zonglu, Maekawa, Koichi
openaire +1 more source
Relating Granger causality to long-term causal effects
Physical Review E, 2015In estimation of causal couplings between observed processes, it is important to characterize coupling roles at various time scales. The widely used Granger causality reflects short-term effects: it shows how strongly perturbations of a current state of one process affect near future states of another process, and it quantifies that via prediction ...
Dmitry A, Smirnov, Igor I, Mokhov
openaire +2 more sources
Granger-Causality and Policy Effectiveness
Economica, 1984It is generally recognized that, if a set of monetary and fiscal policy variables Granger-cause1 real economic variables, this does not imply that alternative deterministic rules for determining the values of these policy instruments will alter the joint density function of the real variables.2 It has, however, also been asserted that (letting X denote
openaire +1 more source
Looking behind Granger causality [PDF]
, 2010 Granger causality as a popular concept in time series analysis is widely applied in empirical research. The interpretation of Granger causality tests in a cause-effect context is, however, often unclear or even controversial, so that the causality label has faded away.
Chen, Pu, Hsiao, Chih-Ying
openaire