Skip to main content
SpringerLink
Log in

A Test for Granger-sausality in a multivariate ARMA model

  • Published:
Empirical Economics Aims and scope Submit manuscript

Abstract

The objective of this paper is to present a parametric test of Granger causality in a multivariate ARMA model. We derive the necessary and sufficient condition for Granger causality. We then relate our method to previous studies by examining Sims' nominal income and money data.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Feige, F.L., andD.K. Pearce: The Casual Causal Relationship between Money and Income: Some Caveats for Time Series Analysis. Review of Economics and Statistics61, 1979, 521–533.

    Google Scholar 

  • Gallant, A.R., andA. Holly: Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Model in the Context of Maximum Likelihood Estimation. Econometrica48, 1980, 697–720.

    Google Scholar 

  • Granger, C.W.J.: Investigating Casual Relations by Econometric and Cross-Spectral Models. Econometrica37, 1969, 424–438.

    Google Scholar 

  • Hillmer, S., andG. Tiao: Likelihood Function of Stationary Multiple Autoregressive Moving Average Models. Journal of American Statistical Association, 1979, 652–660.

  • Pierce, D.A.: Relationships- and the lack thereof-between Economic Time Series with Special Reference to Money and Interest Rates. Journal of the American Statistical Association72, 1977, 11–22.

    Google Scholar 

  • Pierce, D.A., andL.D. Haugh: Causality in Temporal Systems: Characterizations and a Survey. Journal of Econometrics5, 1977, 265–293.

    Article  Google Scholar 

  • Rao, C.R.: Linear Statistical Inference and its Applications. New York 1973.

  • Schwert, G.W.: Tests of Causality: The Message in the Innovations. Journal of Monetary Economics (Supplement)10, 1979, 55–96.

    Google Scholar 

  • Silvey, S.D.: Lagrangian Multiplier Test. Annals of Mathematical Statistics30, 1959, 389–407.

    Google Scholar 

  • Sims, C.A.: Money, Income, and Causality. American Economic Review62, 1972, 540–552.

    Google Scholar 

  • —: Comment. Journal of the American Statistical Association72, 1979, 23–24.

    Google Scholar 

  • Tiao, G., andG.E.P. Box: Modeling Multiple Time Series with Applications. Journal of the American Statistical Association76, 1981, 802–816.

    Google Scholar 

  • Tiao, G., andR. Tsay: Multiple Time Series Modeling and Extended Sample Cross-Correlations. Journal of Business and Economic Statistics1, 1983, 43–56.

    Google Scholar 

  • Wald, A.: Test of Statistical Hypotheses concerning Several Parameters when the Number of Observations is Large. Transactions of American Mathematical Society54, 1943, 426–482.

    Google Scholar 

  • Zellner, A.: Causality and Econometrics. Journal of Monetary Economics (Supplement)10, 1979, 1–54.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. University of Oregon, 97403, Eugene, OR, USA

    R. W. Eberts

  2. Dept. of Decision Systems, School of Business Administration, University of Southern California, 90089-1421, University Park, Los Angeles, CA, USA

    B. M. Steece

Authors
  1. R. W. Eberts
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. B. M. Steece
    View author publications

    You can also search for this author in PubMed Google Scholar

Rights and permissions

Reprints and permissions

About this article

Cite this article

Eberts, R.W., Steece, B.M. A Test for Granger-sausality in a multivariate ARMA model. Empirical Economics 9, 51–58 (1984). https://doi.org/10.1007/BF01972176

Download citation

  • Received:

  • Revised:

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF01972176

Keywords

Search

Navigation