The Review of Economics and Statistics Vol. 99 No. 2 2017
Granger Causal Priority and Choice of Variables in Vector Autoregressions
open access
Abstract
We derive a closed-form expression for the posterior probability of Granger noncausality in a gaussian vector autoregression with a conjugate prior. We also express in closed form the posterior probability of Granger causal priority, a more general relation that accounts for indirect effects between variables and therefore is suitable in a multivariate context. One can use these results to answer the classic question, “Is variable z relevant for variable x?” and to choose variables for a vector autoregression.
- DOI
- 10.1162/rest_a_00601
- Volume
- 99
- Issue
- 2
- Pages
- 319-329
- Language
- en
- Sources
- openalex crossref