Al-Sadoon, M. (2014) 'Geometric and long run aspects of Granger causality.', Journal of econometrics., 178 (Part 3). pp. 558-568.
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 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.
|Full text:||(AM) Accepted Manuscript|
Available under License - Creative Commons Attribution Non-commercial No Derivatives.
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|Publisher Web site:||https://doi.org/10.1016/j.jeconom.2013.08.019|
|Publisher statement:||© 2013 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/|
|Date accepted:||19 August 2013|
|Date deposited:||16 August 2018|
|Date of first online publication:||23 September 2013|
|Date first made open access:||No date available|
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