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Quantitative Finance · Begrippenlijst

Wat is Granger causality?

Definition 20.4 Quantitative Methods · Hoofdstuk 20 — Multivariate Series and Cointegration

A series XX Granger-causes YY if the past of XX improves the prediction of YY beyond the past of YY and of the other variables (Granger, 1969); in a VAR, if the coefficients of the lags of XX in YY’s equation are not all zero, tested by an FF-statistic.

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