Causality Testing in Econometrics |
Common terms and phrases
asymptotically autoregressive model autoregressive operator autoregressive representation biased CAUSALITY TESTING chi-square chi-square distributed coefficients compute controlled variable cross-correlation definition of causality degrees of freedom direct test equation equivalent estimate of yt exogenous F distribution F-statistic feedback filter 1-L filtered data FPE criterion Granger's definition gressive Higher Order Autoregressive hypothesis testing identical identify lag operator least squares estimates likelihood ratio test lower order M2 and GNP maintained hypothesis manipulated variable maximum order mean square error methods Model 1 Model money and income money stock nominal significance level normally distributed null hypothesis one-dimensional autoregressive process order autoregressive processes order of autoregressive order of lags original variables Pierce and Haugh prefiltering priori regression residuals risk due serial correlation Sims filter Sims test smallest FPE specified stochastic Table test causality theorem true significance level type I error U.S. money univariate variance vector autoregression VGNPS VM2S VMLS yt given Zellner