Short-Run and Long-Rub Causality in Time Series: Theory
AbstractCausality in Granger's sense is defined in terms of predictibility one period ahead. The notion of causality is generalized by considering causality at any given horizon 1
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Bibliographic InfoPaper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9538.
Length: 38 pages
Date of creation: 1995
Date of revision:
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Other versions of this item:
- Jean-Marie Dufour & Eric Renault, 1998. "Short Run and Long Run Causality in Time Series: Theory," Econometrica, Econometric Society, vol. 66(5), pages 1099-1126, September.
- Dufour, J.M. & Renault, E., 1995. "Short-Run and Long-Rub Causality in Time Series: Theory," Cahiers de recherche 9538, Universite de Montreal, Departement de sciences economiques.
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