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Necessary And Sufficient Conditions For Causality Testing In Multivariate Arma Models

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  • Heejoon Kang

Abstract

. The necessary and sufficient conditions for Granger causality are provided. The condition is that some linear combinations of certain elements of AR matrix and certain elements of MA matrix must vanish. It is less restrictive than the condition heretofore utilized in the literature which is only sufficient in which certain elements in AR matrix as well as certain elements in MA matrix themselves are zero. A proper parsimonious parametric test procedure is also established by using the necessary and sufficient condition.

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  • Heejoon Kang, 1981. "Necessary And Sufficient Conditions For Causality Testing In Multivariate Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 2(2), pages 95-101, March.
    • Handle: RePEc:bla:jtsera:v:2:y:1981:i:2:p:95-101
    DOI: 10.1111/j.1467-9892.1981.tb00315.x
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    Cited by:

    1. Aleksandra Grzesiek & Prashant Giri & S. Sundar & Agnieszka WyŁomańska, 2020. "Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(6), pages 785-807, November.
    2. Mui, H.W. & Bradford, Garnett L. & Ali, Mukhtar M., 1986. "Modeling The Demand For Durable Inputs: Distributed Lags And Causality," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 18(2), pages 1-8, December.
    3. BADRY Hechmy, 2016. "Financial Deepening-Economic Performance Nexus,An attempt to Study Granger-Causality through Spectral Time Series Analysis in MENA Countries," International Journal of Academic Research in Management and Business, International Journal of Academic Research in Management and Business, vol. 1(1), pages 24-38, July.
    4. Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
    5. Dufour, Jean-Marie & Tessier, David, 1997. "La causalité entre la monnaie et le revenu : une analyse fondée sur un modèle VARMA-échelon," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 351-366, mars-juin.

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