Regression modelEconometrics / time series

Bayesian Granger Causality

Bayesian Granger causality tests whether past values of one time series carry predictive information about another, framing the hypothesis through Bayesian inference rather than frequentist p-values. It combines a vector autoregressive (VAR) structure with prior distributions over coefficients and evaluates causal claims via posterior probabilities or Bayes factors, providing a probabilistic and nuanced alternative to the classical Granger test.

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Sources

  1. Geweke, J. (1984). Inference and causality in economic time series models. Handbook of Econometrics, 2, 1101-1144. Elsevier. link
  2. Granger causality. Wikipedia. link

Related methods

ScholarGateBayesian Granger Causality (Bayesian Granger Causality Analysis). Retrieved 2026-06-04 from https://scholargate.app/tr/econometrics/bayesian-granger-causality