Granger causality between vectors of time series: a puzzling property
type: Item
instance of: scholarly article
title: Granger causality between vectors of time series: a puzzling property
zbMATH Open document ID: 1414.62382
author: Umberto Triacca
published in: Statistics \& Probability Letters
publication date: 2019-02-20T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62B10
Mathematics Subject Classification ID: 62H20
zbMATH DE Number: 7026186
zbMATH Keywords: Granger causality
zbMATH Keywords: Hilbert spaces
zbMATH Keywords: time series
zbMATH Keywords: information set
MaRDI profile type: Publication
full work available at URL: j.spl.2018.06.009
OpenAlex ID: W2831767581
cites work: Geometric and long run aspects of Granger causality
cites work: Short Run and Long Run Causality in Time Series: Theory
cites work: Granger causality and path diagrams for multivariate time series
cites work: Investigating Causal Relations by Econometric Models and Cross-spectral Methods
cites work: Q3243448
cites work: Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes
cites work: Elimination of third-series effect and defining partial measures of causality
cites work: Foundations of time series analysis and prediction theory
cites work: Causality and separability
cites work: Non-causality: The role of the omitted variables
Wikidata QID: Q129575375
DOI: 10.1016/J.SPL.2018.06.009
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description: scientific article; zbMATH DE number 7026186