Granger Causality

Gebhard Kirchgässner and Juergen Wolters

Chapter 3 in Introduction to Modern Time Series Analysis, 2007, pp 93-123 from Springer

Abstract: Abstract So far we have only considered single stationary time series. We analysed their (linear) structure, estimated linear models and performed forecasts based on these models. However, the world does not consist of independent stochastic processes. Just the contrary: in accordance with general equilibrium theory, economists usually assume that everything depends on everything else. Therefore, the next question that arises is about (causal) relationships between different time series.

Keywords: Interest Rate; Causal Relation; Granger Causality; Granger Causality Test; Instantaneous Relation (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/978-3-540-73291-4_3

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