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Granger causality tests in the presence of structural changes [PDF]
, 1995 Granger causality tests are widely used in applied economics as a way of establishing if a variable has been a leading indicator of another over the past. However, like most statistical tests, Granger causality tests require that the relationship between the variables remains stable over the sample period being tested.
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Variable-lag Granger Causality and Transfer Entropy for Time Series Analysis
ACM Transactions on Knowledge Discovery From Data, 2021Chainarong Amornbunchornvej +1 more
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Granger causality test for the relationship between house and land prices
2012This paper uses a Granger causality estimate to assess whether the theoretical Ricardian understanding of the relationship between house and land prices is valid in a dynamic urban land market. The paper compares a Site Adjusted Land Price Index with an equivalent Quality Adjusted Housing Price Index developed for Adelaide, the state capital of South ...
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A study of problems encountered in Granger causality analysis from a neuroscience perspective
Proceedings of the National Academy of Sciences of the United States of America, 2017Patrick L Purdon
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The MVGC multivariate Granger causality toolbox: A new approach to Granger-causal inference
Journal of Neuroscience Methods, 2014Lionel Barnett, Anil K Seth
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The asymmetric Granger-causality analysis between energy consumption and income in the United States
Renewable and Sustainable Energy Reviews, 2014Aviral Kumar Tiwari
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Testing for Granger causality in heterogeneous mixed panels
Economic Modelling, 2011Furkan Emirmahmutoglu, Nezir Köse
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