A FURTHER NOTE ON THE DETECTION OF GRANGER INSTANTANEOUS CAUSALITY

Allan P. Layton

Journal of Time Series Analysis, 1984, vol. 5, issue 1, 15-18

Abstract: Abstract. The purpose of this paper is to demonstrate that it is conceptually incorrect to examine the contemporaneous univariate residual cross‐correlation between two time series in testing for the existence of instantaneous causality.

Date: 1984
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