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| 自回归模型 (AR)× | 格兰杰因果检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1970s (popularised 1976) | 1969 |
| 提出者≠ | George E. P. Box and Gwilym M. Jenkins | Clive W. J. Granger |
| 类型≠ | Time series model | Causality test (F-test on VAR) |
| 开创性文献≠ | Box, G. E. P., & Jenkins, G. M. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0816211043 | Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438. DOI ↗ |
| 别名 | AR model, AR(p) model, autoregression, AR process | Granger test, GC test, predictive causality test, Granger non-causality test |
| 相关≠ | 6 | 5 |
| 摘要≠ | An autoregressive model of order p — AR(p) — expresses the current value of a time series as a linear function of its own p most recent past values plus a white-noise error. It is the building block of the Box-Jenkins family of time-series models and is widely used for forecasting stationary economic and financial series. | 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. |
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