Granger-Sims causality

Abstract

Granger-Sims causality is based on the fundamental axiom that ‘the past and present may cause the future, but the future cannot cause the past’ (Granger, 1980, p. 330). A variable x then is said to cause a variable y if at time t the variable x t helps to predict the variable y t +1 . While predictability in itself is merely a statement about stochastic dependence, it is precisely the axiomatic imposition of a temporal ordering that allows us to interpret such dependence as a causal connection. The reason is that correlation is a symmetric concept with no indication of a direction of influence, while ‘the arrow of time imposes the structure necessary’ (Granger, 1980, p. 349) to interpret correlations in a causal way. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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