Short Run and Long Run Causality in Time Series: Theory
AbstractCausality in Granger's sense is defined in terms of predictibility one period ahead. The notion of causality is generalized by considering causality at any given horizon 1
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Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 66 (1998)
Issue (Month): 5 (September)
Other versions of this item:
- Dufour, J.M. & Renault, E., 1995. "Short-Run and Long-Rub Causality in Time Series: Theory," Cahiers de recherche 9538, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dufour, J.M. & Renault, E., 1995. "Short-Run and Long-Rub Causality in Time Series: Theory," Cahiers de recherche 9538, Universite de Montreal, Departement de sciences economiques.
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