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Granger causality on horizontal sum of Boolean algebras

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Listed:
  • M. Bohdalov'a
  • M. Kalina
  • O. N'an'asiov'a

Abstract

The intention of this paper is to discuss the mathematical model of causality introduced by C.W.J. Granger in 1969. The Granger's model of causality has become well-known and often used in various econometric models describing causal systems, e.g., between commodity prices and exchange rates. Our paper presents a new mathematical model of causality between two measured objects. We have slightly modified the well-known Kolmogorovian probability model. In particular, we use the horizontal sum of set $\sigma$-algebras instead of their direct product.

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  • M. Bohdalov'a & M. Kalina & O. N'an'asiov'a, 2018. "Granger causality on horizontal sum of Boolean algebras," Papers 1810.01654, arXiv.org.
    • Handle: RePEc:arx:papers:1810.01654
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    References listed on IDEAS

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    1. Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 329-352, May.
    2. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
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