摘要翻译:
本文旨在讨论C.W.J.提出的因果关系数学模型。1969年的格兰杰。格兰杰的因果关系模型已成为众所周知的,并经常用于描述因果关系系统的各种计量经济学模型,例如商品价格和汇率之间的因果关系模型。本文提出了一种新的测量对象间因果关系的数学模型。我们对著名的Kolmogorovian概率模型进行了轻微的修改。特别地,我们用集$\sigma$-代数的水平和代替它们的直积。
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英文标题:
《Granger causality on horizontal sum of Boolean algebras》
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作者:
M. Bohdalov\'a, M. Kalina, O. N\'an\'asiov\'a
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最新提交年份:
2018
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分类信息:
一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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英文摘要:
The intention of this paper is to discuss the mathematical model of causality introduced by C.W.J. Granger in 1969. The Granger's model of causality has become well-known and often used in various econometric models describing causal systems, e.g., between commodity prices and exchange rates. Our paper presents a new mathematical model of causality between two measured objects. We have slightly modified the well-known Kolmogorovian probability model. In particular, we use the horizontal sum of set $\sigma$-algebras instead of their direct product.
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PDF链接:
https://arxiv.org/pdf/1810.01654