Geometric and Long Run Aspects of Granger Causality
This paper extends multivariate Granger causality to take into account the subspaces along which Granger causality occurs as well as long run Granger causality. The properties of these new notions of Granger causality, along with the requisite restrictions, are derived and extensively studied for a wide variety of time series processes including linear invertible process and VARMA. Using the proposed extensions, the paper demonstrates that: (i) mean reversion in L2 is an instance of long run Granger non-causality, (ii) cointegration is a special case of long run Granger non-causality along a subspace, (iii) controllability is a special case of Granger causality, and finally (iv) linear rational expectations entail (possibly testable) Granger causality restriction along subspaces.
|Date of creation:||Jan 2013|
|Date of revision:|
|Contact details of provider:|| Postal: Ramon Trias Fargas, 25-27, 08005 Barcelona|
Phone: +34 93 542-1222
Fax: +34 93 542-1223
Web page: http://www.barcelonagse.eu
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- White, Halbert & Pettenuzzo, Davide, 2014.
"Granger causality, exogeneity, cointegration, and economic policy analysis,"
Journal of Econometrics,
Elsevier, vol. 178(P2), pages 316-330.
- Davide Pettenuzzo & Halbert White, 2010. "Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis," Working Papers 36, Brandeis University, Department of Economics and International Businesss School.
- 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.
- 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, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Sims, Christopher A, 2002.
"Solving Linear Rational Expectations Models,"
Society for Computational Economics, vol. 20(1-2), pages 1-20, October.
- Christopher Sims, 2001. "Matlab Code for Solving Linear Rational Expectations Models," QM&RBC Codes 11, Quantitative Macroeconomics & Real Business Cycles.
- Hansen, Lars Peter & Sargent, Thomas J., 1980.
"Formulating and estimating dynamic linear rational expectations models,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 2(1), pages 7-46, May.
- Lars Peter Hansen & Thomas J. Sargent, 1979. "Formulating and estimating dynamic linear rational expectations models," Working Papers 127, Federal Reserve Bank of Minneapolis.
- Lutkepohl, Helmut, 1984. "Linear transformations of vector ARMA processes," Journal of Econometrics, Elsevier, vol. 26(3), pages 283-293, December.
- C. Bruneau & E. Jondeau, 1997.
"Long-run causality, with an application to international links between long-term interest rates,"
THEMA Working Papers
97-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Bruneau, Catherine & Jondeau, Eric, 1999. " Long-Run Causality, with an Application to International Links between Long-Term Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 545-68, November.
- Bruneau, C. & Jondeau, E., 1998. "Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates," Working papers 53, Banque de France.
- Onatski, Alexei, 2006. "Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 323-345, February.
- TjOstheim, Dag, 1981. "Granger-causality in multiple time series," Journal of Econometrics, Elsevier, vol. 17(2), pages 157-176, November.
- Al-Sadoon, M.M., 2009. "Causality Along Subspaces: Theory," Cambridge Working Papers in Economics 0919, Faculty of Economics, University of Cambridge.
- Hoover,Kevin D., 2001.
"Causality in Macroeconomics,"
Cambridge University Press, number 9780521002882, November.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, December.
- Yamamoto, Taku & Kurozumi, Eiji, 2003.
"Tests for Long-Run Granger Non-Causality in Cointegrated Systems,"
2003-12, Graduate School of Economics, Hitotsubashi University.
- Taku Yamamoto & Eiji Kurozumi, 2006. "Tests for Long-Run Granger Non-Causality in Cointegrated Systems," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 703-723, 09.
- Taku Yamamoto & Eiji Kurozumi, 2003. "Tests for Long-Run Granger Non-Causality in Cointegrated Systems," Hi-Stat Discussion Paper Series d03-01, Institute of Economic Research, Hitotsubashi University.
- Dufour, Jean-Marie & Taamouti, Abderrahim, 2010.
"Short and long run causality measures: Theory and inference,"
Journal of Econometrics,
Elsevier, vol. 154(1), pages 42-58, January.
- Taamouti, Abderrahim & Dufour, Jean-Marie, 2008. "Short and long run causality measures: theory and inference," UC3M Working papers. Economics we083720, Universidad Carlos III de Madrid. Departamento de Economía.
- Halbert White & Xun Lu, 2010. "Granger Causality and Dynamic Structural Systems," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(2), pages 193-243, spring.
- M. Ruth & K. Donaghy & P. Kirshen, 2006. "Introduction," Chapters, in: Regional Climate Change and Variability, chapter 1 Edward Elgar Publishing.
- Jonathan B. Hill, 2004.
"Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship,"
0407013, EconWPA, revised 17 May 2005.
- Jonathan B. Hill, 2007. "Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 747-765.
- Thomas J. Sargent & Christopher A. Sims, 1977.
"Business cycle modeling without pretending to have too much a priori economic theory,"
55, Federal Reserve Bank of Minneapolis.
- Tom Doan, . "RATS program to estimate observable index model from Sargent-Sims(1977)," Statistical Software Components RTZ00126, Boston College Department of Economics.
- Granger, C. W. J., 1988. "Causality, cointegration, and control," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 551-559.
- Robert F. Engle & Sharon Kozicki, 1990.
"Testing For Common Features,"
NBER Technical Working Papers
0091, National Bureau of Economic Research, Inc.
- Otter, Pieter W, 1990. "Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(4), pages 453-57, October.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Eichler, Michael, 2007. "Granger causality and path diagrams for multivariate time series," Journal of Econometrics, Elsevier, vol. 137(2), pages 334-353, April.
- Lars Peter Hansen & Thomas J. Sargent, 2013. "Recursive Models of Dynamic Linear Economies," Economics Books, Princeton University Press, edition 1, number 10141, 01-2013.
- Hsiao, Cheng, 1982. "Autoregressive modeling and causal ordering of economic variables," Journal of Economic Dynamics and Control, Elsevier, vol. 4(1), pages 243-259, November.
- Geweke, John, 1984. "Inference and causality in economic time series models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 19, pages 1101-1144 Elsevier.
- Otter, Pieter W., 1991. "On Wiener-Granger causality, information and canonical correlation," Economics Letters, Elsevier, vol. 35(2), pages 187-191, February.
- Halbert White & Karim Chalak & Xun Lu, 2010. "Linking Granger Causality and the Pearl Causal Model with Settable Systems," Boston College Working Papers in Economics 744, Boston College Department of Economics.
- Juselius, Mikael, 2008. "Cointegration implications of linear rational expectation models," Research Discussion Papers 6/2008, Bank of Finland.
- Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
- 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.
- Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 393-95, October.
- Florens, J P & Mouchart, M, 1982. "A Note on Noncausality," Econometrica, Econometric Society, vol. 50(3), pages 583-91, May.
- Poskitt, Don S, 2000. "Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 77-90, January.
- Clive, W.J. & Lin, Jin-Lung, 1995. "Causality in the Long Run," Econometric Theory, Cambridge University Press, vol. 11(03), pages 530-536, June.
- Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-87, December.
When requesting a correction, please mention this item's handle: RePEc:bge:wpaper:682. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bruno Guallar)
If references are entirely missing, you can add them using this form.