Comparer des méthodes

	Causalité de Granger bayésienne	Modèle VAR bayésien (BVAR)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1969 (frequentist); 1984 (Bayesian treatment)	1984
Auteur d'origine	Clive W. J. Granger (frequentist basis, 1969); Bayesian extension by Geweke (1984) and subsequent literature	Doan, Litterman & Sims
Type	Bayesian causal inference test	Multivariate time-series model
Source fondatrice	Geweke, J. (1984). Inference and causality in economic time series models. Handbook of Econometrics, 2, 1101-1144. Elsevier.	Doan, T., Litterman, R., & Sims, C. (1984). Forecasting and conditional projection using realistic prior distributions. Econometric Reviews, 3(1), 1–100.
Alias	Bayesian Granger test, Bayesian predictive causality, BGC, Bayesian causality in mean	BVAR, Bayesian VAR, Bayesian vector autoregressive model, BVAR model
Apparentées	6	5
Résumé	Bayesian Granger causality tests whether past values of one time series carry predictive information about another, framing the hypothesis through Bayesian inference rather than frequentist p-values. It combines a vector autoregressive (VAR) structure with prior distributions over coefficients and evaluates causal claims via posterior probabilities or Bayes factors, providing a probabilistic and nuanced alternative to the classical Granger test.	The Bayesian Vector Autoregression (BVAR) model extends the classical VAR framework by incorporating prior beliefs about the model coefficients. Priors — most commonly the Minnesota prior — shrink VAR coefficients toward economically sensible values, dramatically reducing overfitting and improving out-of-sample forecast accuracy even when the number of variables is large.