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Temporal Causality Measures Based on AIC

In: Proceedings of the First US/Japan Conference on the Frontiers of Statistical Modeling: An Informational Approach

Author

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  • Wolfgang Polasek

    (University of Basel, Institute for Statistics and Econometrics (ISO-WWZ))

Abstract

Summary Casuality analysis in vector autoregressive (VAR) models attained considerable attention in recent econometric work, see e.g. Granger (1969), or Pierce and Haugh (1975). While there are discussions concerning the inference aspect (Zellner 1978, Leamer 1985), this paper elaborates on the necessary conditions and the descriptive use of temporal causality measures. The Geweke (1982) measures which are based on the original definitions of causality by Granger (1969) are used to explore the causality issue in the same category as the R2 measures which percentage of the variance reduction can be attributed to linear regression, a causality measure shows how much variance can be reduced by the past of a certain variable.

Suggested Citation

  • Wolfgang Polasek, 1994. "Temporal Causality Measures Based on AIC," Springer Books, in: H. Bozdogan & S. L. Sclove & A. K. Gupta & D. Haughton & G. Kitagawa & T. Ozaki & K. Tanabe (ed.), Proceedings of the First US/Japan Conference on the Frontiers of Statistical Modeling: An Informational Approach, chapter 9, pages 159-168, Springer.
    • Handle: RePEc:spr:sprchp:978-94-011-0866-9_10
    DOI: 10.1007/978-94-011-0866-9_10
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