Geometric and long run aspects of Granger causality

作者：Al Sadoon Majid M^*

来源：Journal of Econometrics, 2014, 178: 558-568.

DOI：10.1016/j.jeconom.2013.08.019

• Granger causality
• Long run Granger causality
• L-2-mean-reversion
• rho-mixing Cointegration
• VARMA
• Controllability
• Kalman decomposition
• Linear rational expectations

This paper extends multivariate Granger causality to take into account the subspaces along which Granger causality occurs as well as long run Granger causality. The properties of these new notions of Granger causality, along with the-requisite-restrictions, are-derived and-extensively studied for a wide variety of time series processes including linear invertible processes and VARMA. Using the proposed extensions, the paper demonstrates that: (i) mean reversion in L-2 is an instance of long run Granger non-causality, (ii) cointegration is a special case of long run Granger non-causality along a subspace, (iii) controllability is a special case of Granger causality, and finally (iv) linear rational expectations entail (possibly testable) Granger causality restriction along subspaces.

• 出版日期2014-1