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Causality: Some New Thoughts on an Old Topic

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  • Clive Granger

Abstract

Traditional "Granger-Causality" (henceforth just G-causality) concerned the conditional mean. It required that the causal variable Yt preceded the causal variable Xt+1 in time and also that Yt contained special information about Xt+1 which would be shown in the conditional mean E[Xt+1|Yt]. There is an immediate forecasting implication. Later, in terms of conditional distributions, Yt did not cause Xt=1 in distributions, if Yt was conditionally independent of Xt+1. Some new implications of this definition will be presented and the links between the distributions in mean and distribution explored. Since the appearance of these definitions a number of alternative forms have appeared, due to Hoover, Pearl, White, and others and they will be discussed and compared. There will be no conclusion

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Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society 2004 Australasian Meetings with number 351.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:ausm04:351

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Keywords: Causality;

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