IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v2y1981i2p95-101.html
   My bibliography  Save this article

Necessary And Sufficient Conditions For Causality Testing In Multivariate Arma Models

Author

Listed:
  • Heejoon Kang

Abstract

. The necessary and sufficient conditions for Granger causality are provided. The condition is that some linear combinations of certain elements of AR matrix and certain elements of MA matrix must vanish. It is less restrictive than the condition heretofore utilized in the literature which is only sufficient in which certain elements in AR matrix as well as certain elements in MA matrix themselves are zero. A proper parsimonious parametric test procedure is also established by using the necessary and sufficient condition.

Suggested Citation

  • Heejoon Kang, 1981. "Necessary And Sufficient Conditions For Causality Testing In Multivariate Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 2(2), pages 95-101, March.
    • Handle: RePEc:bla:jtsera:v:2:y:1981:i:2:p:95-101
    DOI: 10.1111/j.1467-9892.1981.tb00315.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1981.tb00315.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1981.tb00315.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. BADRY Hechmy, 2016. "Financial Deepening-Economic Performance Nexus,An attempt to Study Granger-Causality through Spectral Time Series Analysis in MENA Countries," International Journal of Academic Research in Management and Business, International Journal of Academic Research in Management and Business, vol. 1(1), pages 24-38, July.
    2. Dufour, Jean-Marie & Tessier, David, 1997. "La causalité entre la monnaie et le revenu : une analyse fondée sur un modèle VARMA-échelon," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 351-366, mars-juin.
    3. Aleksandra Grzesiek & Prashant Giri & S. Sundar & Agnieszka WyŁomańska, 2020. "Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 785-807, November.
    4. Mui, H.W. & Bradford, Garnett L. & Ali, Mukhtar M., 1986. "Modeling The Demand For Durable Inputs: Distributed Lags And Causality," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 18(2), pages 1-8, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:2:y:1981:i:2:p:95-101. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.