On the relationship between impulse response analysis, innovation accounting and Granger causality (Q1318524)
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scientific article; zbMATH DE number 540696
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the relationship between impulse response analysis, innovation accounting and Granger causality |
scientific article; zbMATH DE number 540696 |
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On the relationship between impulse response analysis, innovation accounting and Granger causality (English)
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26 April 1994
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vector autoregressive models
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VAR models
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moving average characterizations
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second order stationary processes
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general characterization of Granger non-causality
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impulse responses
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auxiliary variables
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numerical illustration
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