often used to construct trend- or differencestationary processes in a VAR-model. Considering the error correction approach … traditional tests for Granger-causality can be used in a VAR-model with the original variables. …

In this paper, we propose a new noncausal vector autoregressive (VAR) model for non-Gaussian time series. The … general class of elliptical distributions, we develop an asymptotic theory of maximum likelihood estimation and statistical … conventional causal VAR models. Indeed, if noncausality is incorrectly ignored, the use of a causal VAR model may yield suboptimal …

dataset with more variables. Which variables from the dataset to include in the VAR, in addition to the variables of interest …