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	Causalità di Granger a Parametri Variabili nel Tempo	Autoregressione Vettoriale (VAR)
Campo	Econometria	Econometria
Famiglia	Regression model	Regression model
Anno di origine	1969 (Granger); TVP extension ~2005	1980
Ideatore	C.W.J. Granger (causality concept); TVP extension developed by Primiceri (2005) and subsequent literature	Christopher A. Sims
Tipo	Causality test / time-varying model	Multivariate time-series model
Fonte seminale	Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438.	Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48.
Alias	TVP Granger causality, rolling-window Granger causality, time-varying Granger test, dynamic Granger causality	VAR, VAR model, vector autoregressive model, multivariate autoregression
Correlati	4	5
Sintesi	Time-varying parameter Granger causality extends the classical Granger causality framework by allowing the predictive relationships between time series to evolve across time. Instead of assuming fixed causal effects, the model estimates causal coefficients that can shift, capturing structural breaks, regime changes, or gradual evolution in economic or financial relationships.	Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance.