Extension of Granger causality in multivariate time series models

Michael L. Bagshaw

No 8303, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: This paper proposes an extension of Granger causality when more than two variables are used in a multivariate time series model, and it is necessary to consider more than one-period-ahead forecasts.

Keywords: time; series; analysis (search for similar items in EconPapers)
Date: 1983
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