手法を比較
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| 時間変動パラメータを用いた戸田・山本の因果性検定× | 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≠ | 1995 (base); TVP variant emerged early 2000s–2010s | 1969 |
| 提唱者≠ | Toda & Yamamoto (1995); TVP extension by subsequent applied econometricians | Clive W. J. Granger |
| 種類≠ | Causality test (time-varying) | Time-series predictive causality test |
| 原典≠ | Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. DOI ↗ | Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. DOI ↗ |
| 別名 | TVP-TY causality, time-varying Toda-Yamamoto, TVP Granger causality (Toda-Yamamoto), rolling/recursive Toda-Yamamoto causality | Granger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi |
| 関連≠ | 3 | 5 |
| 概要≠ | The TVP Toda-Yamamoto causality test combines Toda and Yamamoto's (1995) augmented VAR approach — which handles possibly integrated or cointegrated series without pre-testing for unit roots — with time-varying parameters, allowing causal relationships between variables to shift across different periods rather than remaining fixed throughout the sample. | 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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