eprintid: 20749
rev_number: 13
eprint_status: archive
userid: 2326
dir: disk0/00/02/07/49
datestamp: 2016-05-24 06:44:09
lastmod: 2016-05-25 07:04:40
status_changed: 2016-05-24 06:44:09
type: workingPaper
metadata_visibility: show
creators_name: Eichler, Michael
title: Granger causality graphs for multivariate time series
subjects: ddc-510
divisions: i-110400
keywords: Granger-causality, graphical models, spurious causality, multivariate time series
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.
date: 2001-06
id_scheme: DOI
id_number: 10.11588/heidok.00020749
schriftenreihe_cluster_id: sr-10a
schriftenreihe_order: 64
ppn_swb: 1656782898
own_urn: urn:nbn:de:bsz:16-heidok-207498
language: eng
bibsort: EICHLERMICGRANGERCAU200106
full_text_status: public
place_of_pub: Heidelberg
pages: 22
citation:   Eichler, Michael  (2001) Granger causality graphs for multivariate time series.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/20749/1/beitrag.64.pdf