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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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OUT-OF-SAMPLE TESTS FOR GRANGER CAUSALITY
Macroeconomic Dynamics, 2001Clive W.J. Granger has summarized his personal viewpoint on testing for causality in numerous articles over the past 30 years and has outlined what he considers to be a useful operational version of his original definition of Granger causality, which he notes is partially alluded to in the Ph.D. dissertation of Norbert Wiener.
Chao, John +2 more
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Surrogate-based test for Granger causality
2003 IEEE XIII Workshop on Neural Networks for Signal Processing (IEEE Cat. No.03TH8718), 2003An approach for testing the presence of Granger causality between two time series is proposed. The residue of the destination signal after self-prediction is computed, after which a cross-prediction of the source signal over this residue is examined. In the absence of causality, there should be no cross-predictive power, due to which the performance of
T. Gautama, M.M. Van Hulle
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Statistical Tests for Detecting Granger Causality
IEEE Transactions on Signal Processing, 2018Detection of a causal relationship between two or more sets of data is an important problem across various scientific disciplines. The Granger causality index and its derivatives are important metrics developed and used for this purpose. However, the test statistics based on these metrics ignore the effect of practical measurement impairments such as ...
Chopra, Ribhu +2 more
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Testing for Granger causality with mixed frequency data
Journal of Econometrics, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ghysels, Eric +2 more
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Granger causality tests based on reduced variable information
Journal of Time Series Analysis, 2023Granger causality is a classical and important technique for measuring predictability from one group of time series to another by incorporating information of the variables described by a full vector autoregressive (VAR) process. However, in some applications economic forecasts need to be made based on information provided merely by a portion of ...
Neng‐Fang Tseng +2 more
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A note on tests of Granger causality
Applied Economics, 1984(1984). A note on tests of Granger causality. Applied Economics: Vol. 16, No. 3, pp. 335-342.
D. A. Bessler, J. L. Kling
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Granger Causality Testing with Intensive Longitudinal Data
Prevention Science, 2018The availability of intensive longitudinal data obtained by means of ambulatory assessment opens up new prospects for prevention research in that it allows the derivation of subject-specific dynamic networks of interacting variables by means of vector autoregressive (VAR) modeling.
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Persistence-robust Granger causality testing [PDF]
, 2010 The observed persistence common in economic time series may arise from a variety of models that are not always distinguished with confidence in practice, yet play an important role in model specification and second stage inference procedures. Previous literature has introduced causality tests with conventional limiting distributions in I(0)/I(1)VAR ...
Dietmar Bauer, Alex Maynard
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Persistence-robust surplus-lag Granger causality testing
Journal of Econometrics, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bauer, Dietmar, Maynard, Alex
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