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Granger causality and path diagrams for multivariate time series

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  • Eichler, Michael

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 137 (2007)
Issue (Month): 2 (April)
Pages: 334-353

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Handle: RePEc:eee:econom:v:137:y:2007:i:2:p:334-353

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Majid M. Al-Sadoon, 2013. "Geometric and long run aspects of Granger causality," Economics Working Papers 1356, Department of Economics and Business, Universitat Pompeu Fabra.
  2. Javier Pérez & A. Sánchez, 2011. "Is there a signalling role for public wages? Evidence for the euro area based on macro data," Empirical Economics, Springer, vol. 41(2), pages 421-445, October.
  3. Chihying, Hsiao & Chen, Pu, 2007. "Learning Causal Relations in Multivariate Time Series Data," Economics Discussion Papers 2007-15, Kiel Institute for the World Economy.
  4. Rohin Anhal, 2013. "Causality between GDP, Energy and Coal Consumption in India, 1970-2011: A Non-parametric Bootstrap Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 3(4), pages 434 - 446.
  5. Gao, Wei & Zhao, Hongxia, 2013. "Conditional independence graph for nonlinear time series and its application to international financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(10), pages 2460-2469.
  6. Chen, Pu & Hsiao, Chih-Ying, 2010. "Looking behind Granger causality," MPRA Paper 24859, University Library of Munich, Germany.
  7. Eichler, Michael & Didelez, Vanessa, 2009. "On Granger-causality and the effect of interventions in time series," Research Memorandum 003, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  8. Anna Zaremba & Tomaso Aste, 2014. "Measures of Causality in Complex Datasets with application to financial data," Papers 1401.1457, arXiv.org, revised Jun 2014.
  9. Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers 1391, Department of Economics and Business, Universitat Pompeu Fabra.
  10. Roberto Colombi & Sabrina Giordano, 2013. "Monotone dependence in graphical models for multivariate Markov chains," Metrika, Springer, vol. 76(7), pages 873-885, October.
  11. Chen, Pu, 2010. "A time series causal model," MPRA Paper 24841, University Library of Munich, Germany.
  12. Loperfido, Nicola, 2010. "A note on marginal and conditional independence," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1695-1699, December.
  13. Abdelwahab Allali & Amor Oueslati & Abdelwahed Trabelsi, 2011. "Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis," Asia-Pacific Financial Markets, Springer, vol. 18(3), pages 319-344, September.
  14. Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.
  15. Schreiber, Sven, 2013. "(When) does money growth help to predict Euro-area inflation at low frequencies?," Discussion Papers 2013/10, Free University Berlin, School of Business & Economics.

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