کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096150 | 1376507 | 2014 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Geometric and long run aspects of Granger causality
ترجمه فارسی عنوان
جنبه های هندسی و بلند مدت علیت گرنجر
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
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 processes 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)Â 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 178, Part 3, January 2014, Pages 558-568
Journal: Journal of Econometrics - Volume 178, Part 3, January 2014, Pages 558-568
نویسندگان
Majid M. Al-Sadoon,