On Wiener-Granger causality, information and canonical correlation

DOI10.1016/0165-1765(91)90168-KzbMath0733.62101WikidataQ115052239 ScholiaQ115052239MaRDI QIDQ809531

Pieter W. Otter

Publication date: 1991

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

zbMATH Keywords

ARMA modelsmulticollinearitylinear feedbackcanonical correlation coefficientsGeweke's measuremixed autoregressive moving average modelsstationary multivariate time seriestesting Wiener-Granger causalityzero-mean, stationary Gaussian vector processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (1)

Geometric and long run aspects of Granger causality

Cites Work

• Unnamed Item
• Causality in temporal systems. Characterizations and a Survey
• Comparing alternative tests of causality in temporal systems. Analytic results and experimental evidence
• Calculation of the amount of information about a random function contained in another such function
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• Feedback between stationary stochastic processes
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Economic processes involving feedback

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