Testing Causality between Two Vectors in Multivariate Autoregressive Moving Average Models
多元ARMA模型中两个变量向量之间的因果性检验
In the analysis of economic time series, a question often raised is whether a vector of variables causes another one in the sense of Granger. Most of the literature on this topic is concerned with bivariate relationships or uses finite-order autoregressive specifications. The purpose of this article is to develop a causality analysis in the sense of Granger for general vector autoregressive moving average (ARMA) models. We give a definition of Granger noncausality between…