Extension of Granger causality in multivariate time series models

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.

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Year of publication:	1983
Authors:	Bagshaw, Michael L.
Institutions:	Federal Reserve Bank of Cleveland
Subject:	Time-series analysis

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Extent:	application/pdf
Series:	Working Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 8303
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005526600