Geometric and long run aspects of Granger causality

Al-Sadoon, M.

Abstract

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 for a wide variety of time series processes including linear invertible processes and VARMA. Using the proposed extensions, the paper demonstrates that: (i) mean reversion in is an instance of long run Granger non-causality, (ii) cointegration is a special case of long run Granger non-causality along a subspace, (iii) controllability is a special case of Granger causality, and finally (iv) linear rational expectations entail (possibly testable) Granger causality restriction along subspaces.

Citation

Al-Sadoon, M. (2014). Geometric and long run aspects of Granger causality. Journal of Econometrics, 178(Part 3), 558-568. https://doi.org/10.1016/j.jeconom.2013.08.019

• Journal Article Type: Article
• Acceptance Date: Aug 19, 2013
• Online Publication Date: Sep 23, 2013
• Publication Date: Jan 1, 2014
• Deposit Date: Aug 15, 2018
• Publicly Available Date: Aug 16, 2018
• Journal: Journal of Econometrics
• Print ISSN: 0304-4076
• Electronic ISSN: 1872-6895
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 178
• Issue: Part 3
• Pages: 558-568
• DOI: https://doi.org/10.1016/j.jeconom.2013.08.019
• Public URL: https://durham-repository.worktribe.com/output/1323219