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Causality Along Subspaces: Theory

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Author Info
Al-Sadoon, M.M.

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Abstract

This paper extends previous notions of causality to take into account the subspaces along which causality occurs as well as long run causality. The properties of these new notions of causality are extensively studied for a wide variety of time series processes. The paper then proves that the notions of stability, cointegration, and controllability can all be recast under the single framework of causality.

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File URL: http://www.econ.cam.ac.uk/dae/repec/cam/pdf/cwpe0919.pdf
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Publisher Info
Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 0919.

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Date of creation: 14 Apr 2009
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Handle: RePEc:cam:camdae:0919

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Web page: http://www.econ.cam.ac.uk/index.htm

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Related research
Keywords: Granger causality; indirect causality; long run causality; stability; controllability; VARMA.;

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions

This paper has been announced in the following NEP Reports:

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.:
  1. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174. [Downloadable!] (restricted)
  2. 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., vol. 22(4), pages 747-765. [Downloadable!]
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  3. Thomas J. Sargent & Christopher A. Sims, 1977. "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers 55, Federal Reserve Bank of Minneapolis. [Downloadable!]
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This page was last updated on 2009-11-16.

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