Working Paper
Extension of Granger causality in multivariate time series models
Abstract: This paper proposes an extension of Granger causality when more than two variables are used in a multivariate time series model, and it is necessary to consider more than one-period-ahead forecasts.
Keywords: time series analysis;
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Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Working Papers (Old Series)
Publication Date: 1983
Number: 8303