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Granger Causality

In: Introduction to Modern Time Series Analysis

Author

Listed:
  • Gebhard Kirchgässner

    (University of St. Gallen)

  • Jürgen Wolters

    (FU Berlin)

  • Uwe Hassler

    (Goethe University Frankfurt)

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 & Uwe Hassler, 2013. "Granger Causality," Springer Texts in Business and Economics, in: Introduction to Modern Time Series Analysis, edition 2, chapter 3, pages 95-125, Springer.
    • Handle: RePEc:spr:sptchp:978-3-642-33436-8_3
    DOI: 10.1007/978-3-642-33436-8_3
    as

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