Renault, Eric; Scidá, Daniela - In: Essays in honor of Aman Ullah, (pp. 349-385). 2016
Many Information Theoretic Measures have been proposed for a quantitative assessment of causality relationships. While Gouriéroux, Monfort, and Renault (1987) had introduced the so-called “Kullback Causality Measures,” extending Geweke’s (1982) work in the context of Gaussian VAR...
