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Geometric and long run aspects of Granger causality

Al-Sadoon, M.

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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.

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
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

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