Metodebevisregistrering

Granger Causality

The Granger causality test, introduced by Clive W. J. Granger in 1969, assesses whether the past values of one time series help predict another beyond what the latter's own past already explains. It defines causality in a strictly predictive sense rather than as a structural or physical cause.

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Granger Causality Test

Taksonomisk metoderegistrering · regression-model / econometrics

Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. · DOI 10.2307/1912791

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