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Geometric and long run aspects of Granger causality
Al-Sadoon, Majid M.
Universitat Pompeu Fabra. Departament d'Economia i Empresa
This paper extends multivariate Granger causality to take into account the subspacesalong which Granger causality occurs as well as long run Granger causality. The propertiesof these new notions of Granger causality, along with the requisite restrictions, are derivedand extensively studied for a wide variety of time series processes including linear invertibleprocess and VARMA. Using the proposed extensions, the paper demonstrates that: (i) meanreversion in L2 is an instance of long run Granger non-causality, (ii) cointegration is a specialcase of long run Granger non-causality along a subspace, (iii) controllability is a special caseof Granger causality, and finally (iv) linear rational expectations entail (possibly testable)Granger causality restriction along subspaces.
11-07-2013
Statistics, Econometrics and Quantitative Methods
granger causality
long run granger causality
l2 -mean-reversion
p-mixing
cointegration
varma
controllability
kalman decomposition
linear rational expectations
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