On the Interpretation of Causality in Granger's Sense

• Autorzy: Magdalena Osińska

Warianty tytułu

O interpretacji przyczynowości w sensie Grangera

• Języki publikacji: EN

Abstrakty

EN

The concept of causality formulated in 1969 by C.W.J. Granger is mostly popular in the econometric literature. The central assumption of the concept is the fact that the cause precedes the effect and can help in forecasting the effect. Years of application of Granger causality idea have resulted in many misunderstandings related with the interpretation of the empirical findings. The paper focuses on systematization of the definitions based on Granger concept and their proper interpretation. (original abstract)

Koncepcja przyczynowości sformułowana w 1969 roku przez C.W.J. Grangera jest najbardziej popularna w literaturze ekonometrycznej. Centralnym założeniem tej koncepcji jest fakt, że przyczyna poprzedza skutek i jest pomocna w prognozowaniu skutku w przyszłości. Lata stosowania koncepcji przyczynowości w sensie Grangera zaowocowały wieloma nieporozumieniami związanymi z interpretacją wyników empirycznych. Artykuł dotyczy systematyzacji definicji przyczynowości w sensie Grangera i ich właściwej interpretacji. (abstrakt oryginalny)

Słowa kluczowe

EN

Econometric models; Causality analysis; Granger casuality

PL

Modele ekonometryczne; Analiza przyczynowości; Przyczynowość w sensie Grangera

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2011
• Tom: 11
• Strony: 129--140

Twórcy

autor

Magdalena Osińska

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

• Allen, F., Gale, D. (2000), Financial Contagion, The Journal of Political Economy, 108(1), 1-33.
• Artzner, P., Delbaen, F., Eber, J.M., Heath, D. (1998), Coherent Measures of Risk, Mathematical Finance, 9, 203-228.
• Ashley, R., Granger, C. W. J., Schmalensee, R. (1980), Advertising and Aggregate Consumption: An Analysis of Causality, Econometrica, 48, 1149-1167.
• Baek, E.G., Brock, W.A. (1992), A General Test for Nonlinear Granger Causality: Bivariate Model. Technical Report. Iowa State University and University of Wisconsin, Madison.
• Basmann, R. L. (1988), Causality Tests and Observationally Equivalent Representations of Econometric Models, Journal of Econometrics, 39, 69-104.
• Cartwright, N. (2007), Hunting Causes And Using Them (Approaches in Philosophy And Economics), Cambridge University Press.
• Caporale, G. M., Pittis, N., Spagnolo, N. (2002), Testing for Causality-in-Variance: An Application the East Asian Markets, International Journal of Finance and Economics, 7(3), 235-245.
• Chao, J. C., Corradi, V., Swanson, N. R. (2001), An Out-of-Sample Test for Granger Causality, Macroeconomic Dynamics, 5, 598-620.
• Cheung, Y. V., Ng, L. K. (1996), A Causality-in-Variance Test and its Application to Financial Market Prices, Journal of Econometrics, 72(1-2), 33-48.
• Dufour, J-M., Renault, E. (1998), Short Run and Long Run Causality in Time Series: Theory, Econometrica, 66, 1099-1112.
• Geweke, J. (1984), Inference and Causality in Economic Time Series Models, Handbook of Econometrics, vol. II, 1101-1144.
• Granger, C.W.J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 37, 424-438.
• Granger, C.W.J. (1988), Some Recent Developments in a Concept of Causality, Journal of Econometrics, 39, 199-211
• Granger, C. W. J., Newbold, P. (1986), Forecasting Economic Time Series, 2nd edition, Academic Press, Orlando, Florida.
• Hiemstra, C., Jones, J.D. (1994), Testing for Linear and Nonlinear Granger Causality in the Stock Price Volume Relation, Journal of Finance, 49, 1639-1664.
• Hong, Y. (2001), A Test for Volatility Spillover with Applications to Exchange Rates, Journal of Econometrics, 103(1-2), 183-224.
• Hong, Y., Liu, Y., Wang, S. (2009), Granger Causality in Risk and Detection of Extreme Risk Spillover between Financial Markets, Journal of Econometrics, 150(2), 271-287.
• Hoover, K. D. (2001), Causality in Macroeconomics, Cambridge University Press.
• Hsiao, C. (1979), Causality Tests in Econometrics, Journal of Economic Dynamics and Control, 1, 321-346.
• LeRoy, S. (2004), Causality in Economics, MS, University of California, Santa Barbara.
• Osinska, M. (2008), Ekonometryczna analiza zależności przyczynowych (Econometric Analysis of Causal Relationships), Nicolaus Copernicus University in Torun.
• Pearl, J. (2000), Causality, Cambridge University Press.
• Pierce, D. A, Haugh, L.D. (1977), Causality in Temporal Systems, Journal of Econometrics, 5(3), 265-293.
• Toda, H.Y., Yamamoto, T. (1995), Statistical Inferences in Vector Autoregressions with Possibly Integrated Processes, Journal of Econometrics, 66, 225-250.
• Wiener, N. (1956), The Theory of Prediction, [in:] E. F. Backenback (ed.), Modern Mathematics for Engineers, Series I.
• Zellner, A. (1979), Causality and Econometrics, [in:] K. Brunner, I A. M. Meltzer (eds.), Three Aspects of Policy and Policymaking, North-Holland, Amsterdam.

Identyfikatory

DOI

10.12775/DEM.2011.009