Analyzing Associations in Multivariate Binary Time Series

Roland Fried, Silvia Kuhls and Isabel Molina

No 2006,18, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We analyze multivariate binary time series using a mixed parameterization in terms of the conditional expectations given the past and the pairwise canonical interactions among contemporaneous variables. This allows consistent inference on the influence of past variables even if the contemporaneous associations are misspecified. Particularly, we can detect and test Granger non-causalities since they correspond to zero parameter values.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200618

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