Causality Along Subspaces: Theory
AbstractThis 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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Bibliographic InfoPaper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 0919.
Date of creation: 14 Apr 2009
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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 and Methodology: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-06-17 (All new papers)
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