The General Equivalence of Granger and Sims Causality Linear predictor definitions of causality are not adequate for discrete data. The paper extends the Granger and Sims definitions by using conditional independence instead of linear pred...

The Effects of Detrending in Granger Causality Tests Nonstationary time series are frequently detrended in empirical investigations by regressing the series on time or a function of time. The effects of the detrending on the tests for caus...

Tests of Noncausality under Markov Assumptions for Qualitative Panel Data For many years, social scientists have been interested in obtaining testable definitions of causality (Granger [ 1 2 ] , Sims [ 2 8 ] ) .Recent works include those o...

Testing for Granger's Full Causality Abstract-A procedure is proposed to test for the existence of a fully causal relationship between two variables. The method involves contrasting the probabilistic forecasting performance of a univariate...

On the Granger Condition for Non-Causality ON THE GRANGER CONDITION FOR NON-CAUSALITY C. A. SIMS [3]SHOWED that the Granger condition for non-causality can be characterized by simple conditions on the parameters of the moving-average or th...

Noncausality in Continuous Time In this paper, we define different concepts of noncausality for continuous-time processes, using conditional independence and decomposition of semi-martingales. These definitions extend the ones already give...

Nearer-Normality and Some Econometric Models NEARER-NORMALITY AND SOME ECONOMETRIC MODELS A BIVARIATE RANDOM VARIABLE (X, Y) with characteristic function q5(S1, S2) has its (p, q)th cumulant C,, generated by If (X, Y) is normally distribut...

Investigating Causal Relations by Econometric Models and Cross-spectral Methods There occurs on some occasions a difficulty in deciding the direction of causality between two related variables and also whether or not feedback is occurring....

A Linear Theory for Noncausality A LINEAR THEORY FOR NONCAUSALITY' Different definitions of noncausality (according to Granger, Sims, Pierce and Haugh), are analyzed in terms of orthogonality in the Hilbert space of square integrable varia...

Whittle Estimation of ARCH Models For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be fi-consistent and asymptotically normal. Our conditions require the squares to h a ~ seh ort memory au...