Granger Causal Priority and Choice of Variables in Vector Autoregressions

Marek Jarociński and Bartosz Maćkowiak

The Review of Economics and Statistics, 2017, vol. 99, issue 2, 319-329

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. One can use these results to answer the classic question, “Is variable z relevant for variable x?” and to choose variables for a vector autoregression.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/REST_a_00601 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Granger-Causal-Priority and Choice of Variables in Vector Autoregressions (2015)
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tpr:restat:v:99:y:2017:i:2:p:319-329

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().