Chapter 19
INFERENCE AND CAUSALITY IN ECONOMIC TIME SERIES
MODELS
JOHN GEWEKE
Duke Unwersig~
Contents
1.
2.
3.
4.
5.
6.
Introduction
Causality
Causal orderings and their implications
3.1. A canonical form for wide sense stationary multiple time series
3.2. The implications of unidirectional causality
3.3. Extensions
Causality and exogeneity
Inference
5.1. Alternative tests
5.2. Comparison of tests
Some practical problems for further research
6.1. The parameterization problem and asymptotic distribution theory
6.2. Non-autoregressive processes
6.3. Deterministic processes
6.4. Non-stationary processes
6.5. Multivariate methods
References