Sammenlign metoder

	Toda-Yamamoto-kausalitet med tidsvarierende parametere	Granger-kausalitetstest
Fagfelt	Økonometri	Økonometri
Familie	Regression model	Regression model
Opprinnelsesår	1995 (base); TVP variant emerged early 2000s–2010s	1969
Opphavsperson	Toda & Yamamoto (1995); TVP extension by subsequent applied econometricians	Clive W. J. Granger
Type	Causality test (time-varying)	Time-series predictive causality test
Opprinnelig kilde	Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438.
Alias	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
Relaterte	3	5
Sammendrag	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.