On a causal analysis of economic time series

DOI10.14492/HOKMJ/1380892592zbMath0832.62103OpenAlexW2008772128MaRDI QIDQ1900727

Yuji Nakano

Publication date: 5 March 1996

Published in: Hokkaido Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14492/hokmj/1380892592

zbMATH Keywords

time seriesLangevin equationGranger causalitylocal causalitymoney supplycausal relationsGranger-Sargent testGNPinstantaneous local causalitylocal and weak stationarity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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