Feedback, causality and distance between arma models

Umberto Triacca ()

Mathematics and Computers in Simulation (MATCOM), 2004, vol. 64, issue 6, 679-685

Abstract: The purpose of this paper is to analyze in bivariate vector autoregression the relationship between feedback in stochastic systems, Granger causality and a measure of dissimilarity between ARMA models. In particular, we consider a bivariate vector autoregressive processes of order p (a bivariate VAR(p) process) and we prove if the distance between the univariate ARMA models implied by the VAR representation is greater than a certain number that is a function of p, then Granger causality must exist in at least one direction in the variables.

Keywords: ARMA models; Distance; Feedback; Granger causality; VAR (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:64:y:2004:i:6:p:679-685

DOI: 10.1016/j.matcom.2003.11.019

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