Advanced Search
MyIDEAS: Login to save this paper or follow this series

Geometric and Long Run Aspects of Granger Causality

Contents:

Author Info

  • Majid Al-Sadoon

Abstract

This paper extends multivariate Granger causality to take into account the subspaces along which Granger causality occurs as well as long run Granger causality. The properties of these new notions of Granger causality, along with the requisite restrictions, are derived and extensively studied for a wide variety of time series processes including linear invertible process and VARMA. Using the proposed extensions, the paper demonstrates that: (i) mean reversion in L2 is an instance of long run Granger non-causality, (ii) cointegration is a special case of long run Granger non-causality along a subspace, (iii) controllability is a special case of Granger causality, and finally (iv) linear rational expectations entail (possibly testable) Granger causality restriction along subspaces.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://research.barcelonagse.eu/tmp/working_papers/682.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Barcelona Graduate School of Economics in its series Working Papers with number 682.

as in new window
Length:
Date of creation: Jan 2013
Date of revision:
Handle: RePEc:bge:wpaper:682

Contact details of provider:
Postal: Ramon Trias Fargas, 25-27, 08005 Barcelona
Phone: +34 93 542-1222
Fax: +34 93 542-1223
Email:
Web page: http://www.barcelonagse.eu
More information through EDIRC

Related research

Keywords: Granger causality; long run Granger causality; L2-mean-reversion; rho-mixing; cointegration; VARMA; controllability; Kalman Decomposition; linear rational expectations;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Robert F. Engle & Sharon Kozicki, 1990. "Testing For Common Features," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0091, National Bureau of Economic Research, Inc.
  2. Lutkepohl, Helmut, 1984. "Linear transformations of vector ARMA processes," Journal of Econometrics, Elsevier, Elsevier, vol. 26(3), pages 283-293, December.
  3. Onatski, Alexei, 2006. "Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(2), pages 323-345, February.
  4. Taku Yamamoto & Eiji Kurozumi, 2003. "Tests for Long-Run Granger Non-Causality in Cointegrated Systems," Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University d03-01, Institute of Economic Research, Hitotsubashi University.
  5. Eichler, Michael, 2007. "Granger causality and path diagrams for multivariate time series," Journal of Econometrics, Elsevier, Elsevier, vol. 137(2), pages 334-353, April.
  6. Otter, Pieter W., 1991. "On Wiener-Granger causality, information and canonical correlation," Economics Letters, Elsevier, Elsevier, vol. 35(2), pages 187-191, February.
  7. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Short and long run causality measures: Theory and inference," Journal of Econometrics, Elsevier, Elsevier, vol. 154(1), pages 42-58, January.
  8. TjOstheim, Dag, 1981. "Granger-causality in multiple time series," Journal of Econometrics, Elsevier, Elsevier, vol. 17(2), pages 157-176, November.
  9. Dufour, J.M. & Renault, E., 1995. "Short-Run and Long-Rub Causality in Time Series: Theory," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9538, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  10. Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 86(6), pages 971-87, December.
  11. C. Bruneau & E. Jondeau, 1997. "Long-run causality, with an application to international links between long-term interest rates," THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise 97-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  12. Hansen, Lars Peter & Sargent, Thomas J., 1980. "Formulating and estimating dynamic linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 2(1), pages 7-46, May.
  13. Lars Peter Hansen & Thomas J. Sargent, 2013. "Recursive Models of Dynamic Linear Economies," Economics Books, Princeton University Press, Princeton University Press, edition 1, volume 1, number 10141.
  14. Thomas J. Sargent & Christopher A. Sims, 1977. "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers, Federal Reserve Bank of Minneapolis 55, Federal Reserve Bank of Minneapolis.
  15. Jonathan B. Hill, 2007. "Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(4), pages 747-765.
  16. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(4), pages 393-95, October.
  17. Halbert White & Xun Lu, 2010. "Granger Causality and Dynamic Structural Systems," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(2), pages 193-243, spring.
  18. Juselius, Mikael, 2008. "Cointegration implications of linear rational expectation models," Research Discussion Papers, Bank of Finland 6/2008, Bank of Finland.
  19. Al-Sadoon, M.M., 2009. "Causality Along Subspaces: Theory," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0919, Faculty of Economics, University of Cambridge.
  20. Hoover,Kevin D., 2001. "Causality in Macroeconomics," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521452175.
  21. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, Econometric Society, vol. 37(3), pages 424-38, July.
  22. Clive, W.J. & Lin, Jin-Lung, 1995. "Causality in the Long Run," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 11(03), pages 530-536, June.
  23. Otter, Pieter W, 1990. "Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 8(4), pages 453-57, October.
  24. Florens, J P & Mouchart, M, 1982. "A Note on Noncausality," Econometrica, Econometric Society, Econometric Society, vol. 50(3), pages 583-91, May.
  25. Hsiao, Cheng, 1982. "Autoregressive modeling and causal ordering of economic variables," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 4(1), pages 243-259, November.
  26. Geweke, John, 1984. "Inference and causality in economic time series models," Handbook of Econometrics, Elsevier, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 19, pages 1101-1144 Elsevier.
  27. Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers, Brandeis University, Department of Economics and International Businesss School 36, Brandeis University, Department of Economics and International Businesss School.
  28. Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 2(1), pages 329-352, May.
  29. Poskitt, Don S, 2000. "Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 18(1), pages 77-90, January.
  30. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774501, October.
  31. Granger, C. W. J., 1988. "Causality, cointegration, and control," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 551-559.
  32. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, Elsevier, vol. 39(1-2), pages 199-211.
  33. Halbert White & Karim Chalak & Xun Lu, 2010. "Linking Granger Causality and the Pearl Causal Model with Settable Systems," Boston College Working Papers in Economics, Boston College Department of Economics 744, Boston College Department of Economics.
  34. Sims, Christopher A, 2002. "Solving Linear Rational Expectations Models," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 20(1-2), pages 1-20, October.
Full references (including those not matched with items on IDEAS)

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Some Weekend Reading
    by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2013-11-01 17:41:00
  2. Some Weekend Reading
    by ? in R-bloggers on 2013-11-01 17:41:00
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Majid M. Al-Sadoon, 2014. "A general theory of rank testing," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 1411, Department of Economics and Business, Universitat Pompeu Fabra.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bge:wpaper:682. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bruno Guallar).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.