Econometrica Vol. 53 No. 1 1985
A Linear Theory for Noncausality
Abstract
Different definitions of noncausality (according to Granger, Sims, Haugh and Pierce,...) are analyzed in terms of orthogonality in the Hilbert space of square integrable variables. Conditions, when necessary, are given for their respective equivalence. Some problems of testability are mentioned. Finally noncausality is also analyzed in terms of rational expectations, extending previous results of Sims. (Author)
- DOI
- 10.2307/1911729
- Volume
- 53
- Issue
- 1
- Pages
- 157
- Sources
- bibtex:phds-export.bib crossref openalex