Granger-Causal-Priority and Choice of Variables in Vector Autoregressions

Bartosz Maćkowiak

No 66, 2015 Meeting Papers from Society for Economic Dynamics

Abstract: We derive a closed-form expression for the posterior probability of Granger-noncausality in a Gaussian vector autoregression with a conjugate prior. We also express in closed form the posterior probability of Granger-causal-priority, a more general relation that accounts for indirect effects between variables and therefore is suitable in a multivariate context. We show how to use these results to choose variables for a vector autoregression, whether the goal is prediction or impulse response analysis.

Date: 2015
New Economics Papers: this item is included in nep-ets
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Related works:
Journal Article: Granger Causal Priority and Choice of Variables in Vector Autoregressions (2017)
Working Paper: Granger-Causal-Priority and Choice of Variables in Vector Autoregressions (2013)
Working Paper: Granger-causal-priority and choice of variables in vector autoregressions (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed015:66

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