Prediction from Simultaneous Equation Systems and Wold's Implicit Causal Chain Model
联立方程系统与沃尔德隐式因果链模型的预测
According to Wold, information on some of the variables at time t cannot be used for prediction of the values of the remaining variables at t, in a simultaneous equation system. This, however, is not the case with his causal model. This paper considers the stochastic processes underlying the two models, uses the theory of canonical correlation to discuss Wold's criticism, and suggests the type of additional information necessary to remove these objections. It further shows…