Directly to content
  1. Publishing |
  2. Search |
  3. Browse |
  4. Recent items rss |
  5. Open Access |
  6. Jur. Issues |
  7. DeutschClear Cookie - decide language by browser settings

Granger causality graphs for multivariate time series

Eichler, Michael

[thumbnail of beitrag.64.pdf]
Preview
PDF, English
Download (322kB) | Terms of use

Citation of documents: Please do not cite the URL that is displayed in your browser location input, instead use the DOI, URN or the persistent URL below, as we can guarantee their long-time accessibility.

Abstract

In this paper, we discuss the properties of mixed graphs whichvisualize causal relationships between the components of multivariatetime series. In these Granger-causality graphs, the vertices, representing thecomponents of the time series, are connected by arrows according to theGranger-causality relations between the variables whereas lines correspondto contemporaneous conditional association. We show that the concept ofGranger-causality graphs provides a framework for the derivation ofgeneral noncausality relations relative to reduced information sets by performingsequences of simple operations on the graphs. We briefly discussthe implications for the identification of causal relationships. Finally we provide an extension of the linear concept to strong Granger-causality.

Document type: Working paper
Place of Publication: Heidelberg
Date Deposited: 24 May 2016 06:44
Date: June 2001
Number of Pages: 22
Faculties / Institutes: The Faculty of Mathematics and Computer Science > Institut für Mathematik
DDC-classification: 510 Mathematics
Uncontrolled Keywords: Granger-causality, graphical models, spurious causality, multivariate time series
Series: Beiträge zur Statistik > Beiträge
About | FAQ | Contact | Imprint |
OA-LogoDINI certificate 2013Logo der Open-Archives-Initiative