Autoregressive modeling and causal ordering of economic variables☆
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This paper is a revised and condensed version of the paper entitled ‘Time Series Modelling and Causal Ordering of Canadian Money, Income, and Interest Rate’, which was presented in the Fourth International Time Series Meetings in Valencia, Spain, June 1981. This work was completed while the author was visiting Bell Laboratories, Murray Hill, NJ. Research is supported in part by National Science Foundation Grant SES80-07576 at the Institute for Mathematical Studies in the Social Sciences, Stanford University, and by Social Sciences and Humanities Research Council of Canada Grant 410-80-0080 at the Institute for Policy Analysis, University of Toronto. I am indebted to C.W. Keng and K.Y. Tsui for computational assistance. I also wish to thank the referees and T. Amemiya, T.W. Anderson, V. Bencivenga, J.D. Bossons, J. Carr and G. Chow for helpful comments.