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Causality Along Subspaces: Theory

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  • Al-Sadoon, M.M.

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/research/repec/cam/pdf/cwpe0919.pdf
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Bibliographic 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

Related research

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

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  1. Hoover,Kevin D., 2001. "Causality in Macroeconomics," Cambridge Books, Cambridge University Press, number 9780521002882, April.
  2. Lutkepohl, Helmut, 1984. "Linear transformations of vector ARMA processes," Journal of Econometrics, Elsevier, vol. 26(3), pages 283-293, December.
  3. Bruneau, C. & Jondeau, E., 1998. "Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates," Working papers 53, Banque de France.
  4. 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, vol. 8(4), pages 453-57, October.
  5. Jonathan B. Hill, 2004. "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Working Papers 0413, Florida International University, Department of Economics.
  6. 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.
  7. 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.
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Cited by:
  1. Majid Al-Sadoon, 2013. "Geometric and Long Run Aspects of Granger Causality," Working Papers 682, Barcelona Graduate School of Economics.

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