SIMPLIFIED CONDITIONS FOR NONCAUSALITY BETWEEN VECTORS IN MULTIVARIATE ARMA MODELS

被引：21

作者：

BOUDJELLABA, H

DUFOUR, JM

ROY, R

机构：

[1] CRDE,MONTREAL H3C 3J7,PQ,CANADA

[2] LAURENTIAN UNIV,SUDBURY P3E 2C6,ONTARIO,CANADA

[3] UNIV MONTREAL,DEPT ECON,MONTREAL H3C 3J7,QUEBEC,CANADA

[4] UNIV MONTREAL,DEPT INFORMAT,MONTREAL H3C 3J7,QUEBEC,CANADA

来源：

JOURNAL OF ECONOMETRICS | 1994年 / 63卷 / 01期

基金：

加拿大自然科学与工程研究理事会;

关键词：

GRANGER CAUSALITY; MULTIVARIATE ARMA PROCESS; CAUSALITY TEST;

D O I：

10.1016/0304-4076(93)01568-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article derives necessary and sufficient conditions for noncausality between two vectors of variables in stationary invertible ARMA processes. Earlier conditions proposed by Boudjellaba, Dufour, and Roy (1992a) are shown to hold under weaker regularity assumptions and then generalized to cover the important case where the two vectors do not necessarily embody all the variables considered in the analysis. The conditions so obtained can be considerably simpler and easier to implement than earlier ones. Testing of the conditions derived is also discussed and the results are applied to a model of Canadian money, income, and interest rates.

引用

页码：271 / 287

页数：17

共 28 条

[1]

BOUDJELLABA H, 1988, THESIS U MONTREAL

[2]

Eberts R. W., 1984, EMPIR ECON, V9, P51

[3] CASUAL CAUSAL RELATIONSHIP BETWEEN MONEY AND INCOME - SOME CAVEATS FOR TIME-SERIES ANALYSIS [J].