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  • Search: subject:"Kalman decomposition"
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Year of publication
Subject
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Granger causality 1 Kalman Decomposition 1 L2 -mean-reversion 1 VARMA 1 cointegration 1 controllability 1 linear rational expectations 1 long run Granger causality 1 p-mixing 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Al-Sadoon, Majid M. 1
Institution
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Department of Economics and Business, Universitat Pompeu Fabra 1
Published in...
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Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 1
Source
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RePEc 1
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Geometric and long run aspects of Granger causality
Al-Sadoon, Majid M. - Department of Economics and Business, Universitat … - 2013
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...
Persistent link: https://www.econbiz.de/10010611566
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