手法を比較

	時間変動パラメータGranger因果性	Granger因果性検定
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	1969 (Granger); TVP extension ~2005	1969
提唱者	C.W.J. Granger (causality concept); TVP extension developed by Primiceri (2005) and subsequent literature	Clive W. J. Granger
種類	Causality test / time-varying model	Time-series predictive causality test
原典	Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438.	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438.
別名	TVP Granger causality, rolling-window Granger causality, time-varying Granger test, dynamic Granger causality	Granger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi
関連	4	5
概要	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.	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.