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	ARMA-modell (Autoregressiv glidande medelvärde)	Granger-kausalitetstest
Ämnesområde	Ekonometri	Ekonometri
Familj	Regression model	Regression model
Ursprungsår	1970	1969
Upphovsperson	George E. P. Box and Gwilym M. Jenkins	Clive W. J. Granger
Typ	Time series model	Causality test (F-test on VAR)
Ursprungskälla	Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day.	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438.
Alias	ARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q)	Granger test, GC test, predictive causality test, Granger non-causality test
Närliggande	5	5
Sammanfattning	The ARMA(p,q) model describes a stationary time series as a combination of two components: an autoregressive part that regresses the current value on its own past p values, and a moving average part that accounts for past q error terms. It is the foundational framework of the Box-Jenkins methodology for univariate time series modelling and short-run forecasting.	The Granger causality test is a statistical hypothesis test that determines whether past values of one time series help predict future values of another, beyond what that series' own past already explains. Introduced by Clive Granger in 1969, it is the standard approach for assessing predictive causality in VAR-based time-series analysis.