Investigating Causal Relations by Econometric Models and Cross-Spectral Methods

The object of this paper is to throw light on the relationships between certain classes of econometric models involving feedback and the functions arising in spectral analysis, the cross spectrum and the partial cross spectrum

Clive W. J. Granger

2010

Scholarcy highlights

  • There occurs on some occasions a difficulty in deciding the direction of causality between two related variables and whether or not feedback is occurring
  • The object of this paper is to throw light on the relationships between certain classes of econometric models involving feedback and the functions arising in spectral analysis, the cross spectrum and the partial cross spectrum
  • It is shown that in the two-variable case the feedback mechanism can be broken down into two causal relations and that the cross spectrum can be considered as the sum of two cross spectra, each closely connected with one of the causations
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