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ArticleGranger-causality in multiple time series

Dag Tjøstheim1981

Article1981

Granger-causality in multiple time series

53 citations·0/0 files stored·Journal of Econometrics

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1977Time Series Analysis: Forecasting and Control 1972MONEY, INCOME, AND CAUSALITY 2000Forecasting Economic Time Series 1980Testing for causality 1977Forecasting Economic Time Series 1977Causality in temporal systems 1977Relationships—and the Lack Thereof—Between Economic Time Series, with Special Reference to Money and Interest Rates

Cited by

1990Dominant‐satellite relationships between live cattle cash and futures markets 1984Multivariate subset autoregressive modelling with zero constraints for detecting ‘overall causality’1984Theory and practice of multivariate arma forecasting 1994Simplified conditions for noncausality between vectors in multivariate ARMA models 1989Federal deficits and money growth in the United States 2005Testing non-correlation and non-causality between two multivariate ARMA time series

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Year1981

Typearticle

Published1981-11-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations53

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0304-4076(81)90024-5

openalex_workW2015009958

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2023Bibliometric Analysis of Granger Causality Studies