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Granger Causality

In: Introduction to Modern Time Series Analysis

Author

Listed:
  • Gebhard Kirchgässner

    (University of St. Gallen)

  • Jürgen Wolters

    (Freie Universität Berlin)

Abstract

So far we have only considered single stationary time series. We analysed their (linear) structure, estimated linear models and performed forecasts based on these models. However, the world does not consist of independent stochastic processes. Just the contrary: in accordance with general equilibrium theory, economists usually assume that everything depends on everything else. Therefore, the next question that arises is about (causal) relationships between different time series.

Suggested Citation

  • Gebhard Kirchgässner & Jürgen Wolters, 2007. "Granger Causality," Springer Books, in: Introduction to Modern Time Series Analysis, chapter 3, pages 93-123, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-73291-4_3
    DOI: 10.1007/978-3-540-73291-4_3
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