On the relationship between impulse response analysis, innovation accounting and Granger causality

DOI10.1016/0165-1765(93)90080-VzbMath0791.62100OpenAlexW1989622089MaRDI QIDQ1318524

Jean-Marie Dufour, David Tessier

Publication date: 26 April 1994

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(93)90080-v

zbMATH Keywords

auxiliary variablesVAR modelsimpulse responsesvector autoregressive modelsnumerical illustrationsecond order stationary processesgeneral characterization of Granger non-causalitymoving average characterizations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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