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Erschienen in:
2013 | OriginalPaper | Buchkapitel
Granger Causality
verfasst von : Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler
Erschienen in: Introduction to Modern Time Series Analysis
Verlag: Springer Berlin Heidelberg
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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.