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Sir Clive W.J. Granger Memorial Special Issue on Econometrics

Journal Name:

  • European Journal of Pure and Applied Mathematics

Publication Year:

  • 2017

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Abstract (2. Language): 
Despite an extraordinary level of debate about the concept of 'causality' and establishing causal links, Granger (1969) [18] proposed an approach based on the arrow of time and the effects of eliminating the history of some variables from the joint distribution of all variables. There was no Granger causality from the eliminated variables if the conditional and marginal dis¬tributions of the remaining variables were the same. In practice, the non-operational nature of his definition was finessed by testing whether dropping a subset of variables from a larger set affected the goodness of fit of models of the remaining variables. This paper notes the drawbacks that arise from such a route to making his concept of causality operational, but also emphasises its pervasive role in econometric modelling of time series.
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REFERENCES

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