Geometric and long run aspects of Granger causality

Majid Al-Sadoon

Journal of Econometrics, 2014, vol. 178, issue P3, 558-568

Abstract: This paper extends multivariate Granger causality to take into account the subspaces along which Granger causality occurs as well as long run Granger causality. The properties of these new notions of Granger causality, along with the requisite restrictions, are derived and extensively studied for a wide variety of time series processes including linear invertible processes and VARMA. Using the proposed extensions, the paper demonstrates that: (i) mean reversion in L2 is an instance of long run Granger non-causality, (ii) cointegration is a special case of long run Granger non-causality along a subspace, (iii) controllability is a special case of Granger causality, and finally (iv) linear rational expectations entail (possibly testable) Granger causality restriction along subspaces.

Keywords: Granger causality; Long run Granger causality; L2-mean-reversion; ρ-mixing; Cointegration; VARMA; Controllability; Kalman decomposition; Linear rational expectations (search for similar items in EconPapers)
JEL-codes: C10 C32 C51 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Geometric and Long Run Aspects of Granger Causality (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:178:y:2014:i:p3:p:558-568

DOI: 10.1016/j.jeconom.2013.08.019

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