Testing causality using efficiently parametrized vector ARMA models (Q1086960)
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scientific article; zbMATH DE number 3986478
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing causality using efficiently parametrized vector ARMA models |
scientific article; zbMATH DE number 3986478 |
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Testing causality using efficiently parametrized vector ARMA models (English)
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1986
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We outline a practical methodology for fitting to data vector autoregressive moving-average models, and employ these models to test for Granger causality. The procedures are applied to data on employment and hourly wages in manufacturing in the United States.
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model-building methodology
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model selection
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parameter estimation
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model checking
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economic time series
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vector autoregressive moving-average models
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test for Granger causality
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