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| Grangerov kauzalitný test× | Model vektorovej autoregresie (VAR)× | |
|---|---|---|
| Odbor | Ekonometria | Ekonometria |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1969 | 2005 |
| Tvorca≠ | Clive W. J. Granger | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| Typ≠ | Time-series predictive causality test | Multivariate time-series model |
| Pôvodný zdroj≠ | Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| Ďalšie názvy | Granger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| Príbuzné≠ | 5 | 4 |
| Zhrnutie≠ | 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. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
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