Regression modelEconometrics / time series

Time-Varying Parameter Granger Causality

Time-varying parameter Granger causality extends the classical Granger causality framework by allowing the predictive relationships between time series to evolve across time. Instead of assuming fixed causal effects, the model estimates causal coefficients that can shift, capturing structural breaks, regime changes, or gradual evolution in economic or financial relationships.

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Sources

  1. Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438. DOI: 10.2307/1912791
  2. Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821-852. DOI: 10.1111/j.1467-937X.2005.00353.x

Related methods

ScholarGateTime-varying parameter Granger causality (Time-Varying Parameter Granger Causality). Retrieved 2026-06-04 from https://scholargate.app/tr/econometrics/time-varying-parameter-granger-causality