The General Equivalence of Granger and Sims Causality

DOI10.2307/1912601zbMath0483.60022OpenAlexW1975139355MaRDI QIDQ3942123

Gary Chamberlain

Publication date: 1982

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://ageconsearch.umn.edu/record/292583

zbMATH Keywords

causalityconditional independencelinear predictor specification

Mathematics Subject Classification ID

Decision theory (91B06) General theory of stochastic processes (60G07) General considerations in statistical decision theory (62C05)

Related Items (15)

Non-causality in bivariate binary time series ⋮ Granger causality and stopping times ⋮ Monotone dependence in graphical models for multivariate Markov chains ⋮ Conditional independence in sample selection models ⋮ Strong mixing properties of discrete-valued time series with exogenous covariates ⋮ Graphical models for multivariate Markov chains ⋮ Stationarity and ergodic properties for some observation-driven models in random environments ⋮ Coupling and perturbation techniques for categorical time series ⋮ Graphical modelling of multivariate time series ⋮ GRANGER CAUSALITY AND STRUCTURAL CAUSALITY IN CROSS-SECTION AND PANEL DATA ⋮ On the spectral formulation of Granger causality ⋮ Non-parametric determination of real-time lag structure between two time series: the ‘optimal thermal causal path’ method ⋮ The relation between Granger causality and directed information theory: a review ⋮ The Relation of Different Concepts of Causality Used in Time Series and Microeconometrics ⋮ ITERATIONS OF DEPENDENT RANDOM MAPS AND EXOGENEITY IN NONLINEAR DYNAMICS

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