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Elimination of Third‐series Effect and Defining Partial Measures of Causality

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  • Yuzo Hosoya

Abstract

Using the one‐way effect extraction method, this paper presents a set of partial causal measures which represents quantitatively the interdependence between a pair of vector‐valued processes in the presence of a third process. Those measures are defined for stationary as well as for a class of non‐stationary time series. In contrast to conventional conditioning methods, the partial concept defined in the paper would be mostly devoid of feedback distortion by the third process. The paper also discusses statistical inference on the proposed measures.

Suggested Citation

  • Yuzo Hosoya, 2001. "Elimination of Third‐series Effect and Defining Partial Measures of Causality," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(5), pages 537-554, September.
    • Handle: RePEc:bla:jtsera:v:22:y:2001:i:5:p:537-554
    DOI: 10.1111/1467-9892.00240
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    Cited by:

    1. Yugang He & Ziqian Zhang, 2022. "Non-Renewable and Renewable Energies, and COVID-19 Pandemic: Do They Matter for China’s Environmental Sustainability?," Energies, MDPI, vol. 15(19), pages 1-14, September.
    2. Funke, Michael & Li, Xiang & Tsang, Andrew, 2019. "Monetary policy shocks and peer-to-peer lending in China," BOFIT Discussion Papers 23/2019, Bank of Finland Institute for Emerging Economies (BOFIT).
    3. Matteo Farnè & Angela Montanari, 2022. "A Bootstrap Method to Test Granger-Causality in the Frequency Domain," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 935-966, March.
    4. Emrah İ. Çevik & Erdal Atukeren & Turhan Korkmaz, 2019. "Trade Openness and Economic Growth in Turkey: A Rolling Frequency Domain Analysis," Economies, MDPI, vol. 7(2), pages 1-16, May.
    5. Alexandra M. Espinosa & Ignacio Díaz-Emparanza, 2023. "Assessing the Spanish immigration policy with frequency-wise causality in Hosoya’s sense," Empirical Economics, Springer, vol. 65(1), pages 111-147, July.
    6. repec:zbw:bofitp:2019_023 is not listed on IDEAS
    7. Cevik, Emrah Ismail & Gunay, Samet & Zafar, Muhammad Wasif & Destek, Mehmet Akif & Bugan, Mehmet Fatih & Tuna, Fatih, 2022. "The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold," Resources Policy, Elsevier, vol. 79(C).

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