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Granger causality tests based on reduced variable information.
- Source :
-
Journal of Time Series Analysis . May2024, Vol. 45 Issue 3, p444-462. 19p. - Publication Year :
- 2024
-
Abstract
- Granger causality is a classical and important technique for measuring predictability from one group of time series to another by incorporating information of the variables described by a full vector autoregressive (VAR) process. However, in some applications economic forecasts need to be made based on information provided merely by a portion of variates (e.g., removal of a listed stock due to halting, suspension or delisting). This requires a new formulation of forecast based on an embedded subprocess of VAR, whose theoretical properties are often difficult to obtain. To avoid the issue of identifying the VAR subprocess, we propose a computation‐based approach so that sophisticated predictions can be made by utilizing a reduced variable information set estimated from sampled data. Such estimated information set allows us to develop a suitable statistical hypothesis testing procedure for characterizing all designated Granger causal relationships, as well as a useful graphical tool for presenting the causal structure over the prediction horizon. Finally, simulated data and a real example from the stock markets are used to illustrate the proposed method. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01439782
- Volume :
- 45
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Journal of Time Series Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 176450914
- Full Text :
- https://doi.org/10.1111/jtsa.12720