Short Run and Long Run Causality in Time Series: Theory

Jean-Marie Dufour () and Eric Renault

Econometrica, 1998, vol. 66, issue 5, 1099-1126

Abstract: Causality in Granger's sense is defined in terms of predictibility one period ahead. The notion of causality is generalized by considering causality at any given horizon 1

Date: 1998
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Related works:
Working Paper: Short-Run and Long-Rub Causality in Time Series: Theory (1995)
Working Paper: Short-Run and Long-Rub Causality in Time Series: Theory (1995)
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