search query: @indexterm ECONOMETRICS / total: 250
reference: 126 / 250
| Author: | Dufour, J-M Renault, E. |
| Title: | Short run and long run causality in time series: Theory |
| Journal: | Econometrica
1998 : SEP, VOL. 66:5, p. 1099-1125 |
| Index terms: | CAUSALITY TIME SERIES ECONOMETRICS |
| Language: | eng |
| Abstract: | This paper first generalizes the notion of causality by considering causality at given horizon h. Then necessary and sufficient conditions for noncausality are derived between vectors of variables up to any given horizon h, where h can be infinite. For general possible nonstationary processes with finite second moments, relatively simple exhaustivity and separation conditions sufficient for noncausality at all horizaons, are provided. To deal with cases where such conditions do not apply, a more specific class of vector autoregressive processes is considered. |
SCIMA